Price Using Finite Differences

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

The Crank-Nicolson method is a finite difference method that is widely used for solving time-dependent PDEs and the Alternate Direction Implicit (ADI) method is an implicit finite difference technique, particularly useful for solving multi-dimensional PDEs. Price and analyze equity option instruments using ADI and Crank-Nicolson finite differences methods with the following functions:

Functions

spreadbyfdPrice European or American spread options using finite difference method
spreadsensbyfdCalculate price and sensitivities of European or American spread options using finite difference method
barrierbyfdCalculate barrier option prices using finite difference method
barriersensbyfdCalculate barrier option prices or sensitivities using finite difference method
dblbarrierbyfdCalculate double barrier option price using finite difference method
dblbarriersensbyfdCalculate double barrier option price and sensitivities using finite difference method
optstockbyfdCalculate vanilla option prices using finite difference method
optstocksensbyfdCalculate vanilla option prices or sensitivities using finite difference method
optByLocalVolFDOption price by local volatility model, using finite differences
optSensByLocalVolFDOption price and sensitivities by local volatility model, using finite differences
optByHestonFDOption price by Heston model using finite differences
optSensByHestonFDOption price and sensitivities by Heston model using finite differences
optByBatesFDOption price by Bates model using finite differences
optSensByBatesFDOption price and sensitivities by Bates model using finite differences
optByMertonFDOption price by Merton76 model using finite differences
optSensByMertonFDOption price and sensitivities by Merton76 model using finite differences

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