Calculate vanilla option prices or sensitivities using finite difference method
[
calculates
vanilla option prices or sensitivities using the finite difference
method. PriceSens
,PriceGrid
,AssetPrices
,Times
]
= optstocksensbyfd(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
)
[
adds optional name-value pair arguments. PriceSens
,PriceGrid
,AssetPrices
,Times
]
= optstocksensbyfd(___,Name,Value
)
[1] Haug, E. G., J. Haug, and A. Lewis. "Back to basics: a new approach to the discrete dividend problem." Vol. 9, Wilmott magazine, 2003, pp. 37–47.
[2] Wu, L. and Y. K. Kwok. "A front-fixing finite difference method for the valuation of American options." Journal of Financial Engineering. Vol. 6.4, 1997, pp. 83–97.