Option price by Bates model using finite differences
[
specifies options using one or more name-value pair arguments in addition to the input
arguments in the previous syntax. Price
,PriceGrid
,AssetPrices
,Variances
,Times
] = optByBatesFD(___,Name,Value
)
[1] Bates, D. S. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options." The Review of Financial Studies. Vol. 9, Number 1, 1996.
optByHestonFD
| optByLocalVolFD
| optByMertonFD
| optSensByBatesFD
| optSensByHestonFD
| optSensByLocalVolFD
| optSensByMertonFD