Price Using Closed-Form Solutions

Price spread, Asian, forwards, and futures options using closed-form solutions

Use different equity option models and a closed-form solution to price and analyze an equity option instrument.

Functions

`spreadbykirk`	Price European spread options using Kirk pricing model
`spreadsensbykirk`	Calculate European spread option prices or sensitivities using Kirk pricing model
`spreadbybjs`	Price European spread options using Bjerksund-Stensland pricing model
`spreadsensbybjs`	Calculate European spread option prices or sensitivities using Bjerksund-Stensland pricing model

`asianbykv`	Prices European geometric Asian options using Kemna-Vorst model
`asiansensbykv`	Calculate prices or sensitivities of European geometric Asian options using Kemna-Vorst model
`asianbylevy`	Price of European arithmetic Asian options using Levy model
`asiansensbylevy`	Calculate prices or sensitivities of European arithmetic Asian options using Levy model
`asianbyhhm`	Price European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe model
`asiansensbyhhm`	Calculate price and sensitivities of European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe model
`asianbytw`	Price European arithmetic fixed Asian options using Turnbull-Wakeman model
`asiansensbytw`	Calculate price and sensitivities of European fixed arithmetic Asian options using Turnbull-Wakeman model

`lookbackbycvgsg`	Calculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
`lookbacksensbycvgsg`	Calculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models

`optstockbyblk`	Price options on futures and forwards using Black option pricing model
`optstocksensbyblk`	Determine option prices or sensitivities on futures and forwards using Black option pricing model

`optstockbybaw`	Calculate American options prices using Barone-Adesi and Whaley option pricing model
`optstocksensbybaw`	Calculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model
`impvbybaw`	Calculate implied volatility using Barone-Adesi and Whaley option pricing model

Pricing European Call Options Using Different Equity Models
This example illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.
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.
Pricing Asian Options
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
Supported Energy Derivative Functions
Energy derivative functions supported by Financial Instruments Toolbox™.