Create Dupire
model object for local volatility for
Vanilla
instrument
Create and price a Vanilla
instrument object with a
Dupire
model using this workflow:
Use fininstrument
to create a Vanilla
instrument object.
Use finmodel
to specify
a Dupire
model object for the Vanilla
instrument.
Use finpricer
to
specify a FiniteDifference
pricing method for the
Vanilla
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available pricing methods for a Vanilla
instrument, see Choose Instruments, Models, and Pricers.
creates a DupireObj
= finmodel(ModelType
,'ImpliedVolData
',impliedvoldata_value)Dupire
model object by specifying
ModelType
and the required name-value pair argument
ImpliedVolData
to set properties using name-value
pair arguments. For example, DupireObj =
finmodel("Dupire",'ImpliedVolData',voldata_table)
creates a
Dupire
model object.
[1] Andersen, L. B., and R. Brotherton-Ratcliffe. "The Equity Option Volatility Smile: An Implicit Finite-Difference Approach." Journal of Computational Finance. Vol. 1, Number 2, 1997, pp. 5–37.
[2] Dupire, B. "Pricing with a Smile." Risk. Vol. 7, Number 1, 1994, pp. 18–20.