Price Using Finite Differences

Price options using Alternate Direction Implicit (ADI) and Crank-Nicolson finite differences methods

Price equity option instruments using Alternate Direction Implicit (ADI) and Crank-Nicolson finite differences methods.

Functions

`spreadbyfd`	Price European or American spread options using finite difference method
`spreadsensbyfd`	Calculate price and sensitivities of European or American spread options using finite difference method
`barrierbyfd`	Calculate barrier option prices using finite difference method
`barriersensbyfd`	Calculate barrier option prices or sensitivities using finite difference method
`dblbarrierbyfd`	Calculate double barrier option price using finite difference method
`dblbarriersensbyfd`	Calculate double barrier option price and sensitivities using finite difference method
`optstockbyfd`	Calculate vanilla option prices using finite difference method
`optstocksensbyfd`	Calculate vanilla option prices or sensitivities using finite difference method
`optByLocalVolFD`	Option price by local volatility model, using finite differences
`optSensByLocalVolFD`	Option price and sensitivities by local volatility model, using finite differences
`optByHestonFD`	Option price by Heston model using finite differences
`optSensByHestonFD`	Option price and sensitivities by Heston model using finite differences
`optByBatesFD`	Option price by Bates model using finite differences
`optSensByBatesFD`	Option price and sensitivities by Bates model using finite differences
`optByMertonFD`	Option price by Merton76 model using finite differences
`optSensByMertonFD`	Option price and sensitivities by Merton76 model using finite differences

Hedging Strategies Using Spread Options
This example shows different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.
Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion
This example shows how to simulate electricity prices using a mean-reverting model with seasonality and a jump component.
Supported Energy Derivative Functions
Energy derivative functions supported by Financial Instruments Toolbox™.