Create Merton
model object for Vanilla
,
Asian
, Barrier
,
DoubleBarrier
, Lookback
,
OneTouch
, DoubleTouch
, or
Binary
instrument
Create and price a Vanilla
, Asian
,
Barrier
, DoubleBarrier
,
Lookback
, Touch
,
DoubleTouch
, or Binary
instrument object with
a Merton
model using this workflow:
Use fininstrument
to create a Vanilla
,
Barrier
,
Lookback
,
Asian
, DoubleBarrier
, Binary
,
Touch
, or
DoubleTouch
instrument object.
Use finmodel
to specify
a Merton
model object for the Vanilla
,
Asian
, Barrier
,
DoubleBarrier
, Lookback
,
Touch
, DoubleTouch
, or
Binary
instrument.
Use finpricer
to
specify a FiniteDifference
, NumericalIntegration
, or FFT
pricing method
for the Vanilla
instrument.
Use finpricer
to
specify an AssetMonteCarlo
pricing method for the
Vanilla
, Asian
,
Barrier
DoubleBarrier
,
Lookback
, Touch
,
DoubleTouch
, or Binary
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
, Asian
, Barrier
,
DoubleBarrier
, Lookback
,
Touch
, DoubleTouch
, or
Binary
instrument, see Choose Instruments, Models, and Pricers.
creates a MertonModelObj
= finmodel(ModelType
,'Volatility
',volatility_value,'MeanJ
',meanj_value,'JumpVol
',jumpvol_value,'JumpFreq
',jumpfreq_value)Merton
model object by specifying
ModelType
and the required name-value pair
arguments MeanJ
, JumpVol
, and
JumpFreq
to set properties using name-value
pair arguments. For example, MertonModelObj =
finmodel("Merton",'Volatility',0.03,'MeanJ',0.22,'JumpVol',0.007,'JumpFreq',0.009)
creates a Merton
model object.