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Price Using Finite Differences

Price options using Alternate Direction Implicit (ADI) and Crank-Nicolson finite differences methods

Functions

spreadbyfdPrice European or American spread options using finite difference method
spreadsensbyfdCalculate price and sensitivities of European or American spread options using finite difference method
barrierbyfdCalculate barrier option prices using finite difference method
barriersensbyfdCalculate barrier option prices or sensitivities using finite difference method
dblbarrierbyfdCalculate double barrier option price using finite difference method
dblbarriersensbyfdCalculate double barrier option price and sensitivities using finite difference method
optstockbyfdCalculate vanilla option prices using finite difference method
optstocksensbyfdCalculate vanilla option prices or sensitivities using finite difference method
optByLocalVolFDOption price by local volatility model, using finite differences
optSensByLocalVolFDOption price and sensitivities by local volatility model, using finite differences
optByHestonFDOption price by Heston model using finite differences
optSensByHestonFDOption price and sensitivities by Heston model using finite differences
optByBatesFDOption price by Bates model using finite differences
optSensByBatesFDOption price and sensitivities by Bates model using finite differences
optByMertonFDOption price by Merton76 model using finite differences
optBySensMertonFDOption price and sensitivities by Merton76 model using finite differences

Examples and How To

Pricing European and American Spread Options

This example shows how to price and calculate sensitivities for European and American spread options using various techniques.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.