Create FFT
pricer object for Vanilla
instrument using Merton
, Heston
, or
Bates
model
Create and price a Vanilla
instrument object with a
Heston
, Bates
, or Merton
model and an FFT
pricing method using this workflow:
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 an FFTPricerObj
= finpricer(PricerType
,'Model
',model,'DiscountCurve
',ratecurve_obj)FFT
pricer object by specifying
PricerType
and sets the properties for the required
name-value pair arguments Model
and
DiscountCurve
.
sets optional properties using additional
name-value pairs in addition to the required arguments in the previous
syntax. For example, FFTPricerObj
= finpricer(___,Name,Value
)FFTPricerObj =
finpricer("FFT",'Model',FFTModel,
'DiscountCurve',ratecurve_obj,'SpotPrice',1000,'DividendValue',0.01,'VolRiskPremium',0.9)
creates an FFT
pricer object. You can specify multiple
name-value pair arguments.
price | Compute price for equity instrument with FFT pricer |
[1] Albrecher, H., P. Mayer, W. Schoutens, and J. Tistaert. “The Little Heston Trap.” Working Paper, Linz and Graz University of Technology, K.U. Leuven, ING Financial Markets, 2006.