Nengjiu Ju Model
Price European basket options using approximation model for
option pricing
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™.
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