Option price and sensitivities by Bates model using finite differences
[
computes a vanilla European or American option price and sensitivities by the Bates model,
using the alternating direction implicit (ADI) method.PriceSens
,PriceGrid
,AssetPrices
,Variances
,Times
] = optSensByBatesFD(Rate
,AssetPrice
,Settle
,ExerciseDates
,OptSpec
,Strike
,V0
,ThetaV
,Kappa
,SigmaV
,RhoSV
,MeanJ
,JumpVol
,JumpFreq
)
[
specifies options using one or more name-value pair arguments in addition to the input
arguments in the previous syntax. PriceSens
,PriceGrid
,AssetPrices
,Variances
,Times
] = optSensByBatesFD(___,Name,Value
)
[1] Bates, D. S. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options." The Review of Financial Studies. Vol. 9, Number 1, 1996.
optByBatesFD
| optByHestonFD
| optByLocalVolFD
| optByMertonFD
| optSensByHestonFD
| optSensByLocalVolFD
| optSensByMertonFD