Option price and sensitivities by local volatility model, using finite differences
[
compute option price and sensitivities by the local volatility model, using the
Crank-Nicolson method.PriceSens
,PriceGrid
,AssetPrices
,Times
]
= optSensByLocalVolFD(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. PriceSens
,PriceGrid
,AssetPrices
,Times
]
= optSensByLocalVolFD(___,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
| optByLocalVolFD
| optByMertonFD
| optSensByBatesFD
| optSensByHestonFD
| optSensByMertonFD
| optstockbyfd
| optstocksensbyfd