Nengjiu Ju Model
Price European basket options using approximation model for
option pricing
The Nengjiu Ju model provides a closed-form approximation for call and put options, which can be exercised at any time before expiration. Price and analyze basket options instruments using a Nengjiu Ju model with the following functions:
Functions
basketbyju | Price European basket options using Nengjiu Ju approximation model |
basketsensbyju | Determine European basket options price or sensitivities using Nengjiu Ju approximation model |
basketstockspec | Specify basket stock structure using Longstaff-Schwartz model |
Topics
- Equity Derivatives Using Closed-Form Solutions
Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
