Option price by local volatility model, using finite differences
[
compute a Vanilla European or American option price by the local volatility model,
using the Crank-Nicolson method. Price
,PriceGrid
,AssetPrices
,Times
]
= optByLocalVolFD(Rate
,AssetPrice
,Settle
,ExerciseDates
,OptSpec
,Strike
,ImpliedVolData
)
[
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax. Price
,PriceGrid
,AssetPrices
,Times
]
= optByLocalVolFD(___,Name,Value
)
[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.
optByBatesFD
| optByHestonFD
| optByMertonFD
| optSensByBatesFD
| optSensByHestonFD
| optSensByLocalVolFD
| optSensByMertonFD
| optstockbyfd
| optstocksensbyfd