Determine European basket options price and sensitivities using Nengjiu Ju approximation model
PriceSens = basketsensbyju(RateSpec, BasketStockSpec,
OptSpec, Strike,
Settle, Maturity)
PriceSens = basketsensbyju(RateSpec, BasketStockSpec,
OptSpec, Strike,
Settle, Maturity, 'ParameterName'
, ParameterValue
,
...)
PriceSens = basketsensbyju(RateSpec, BasketStockSpec,
OptSpec, Strike,
calculates
prices and sensitivities for basket options using the Nengjiu Ju approximation
model.
Settle, Maturity)
PriceSens = basketsensbyju(RateSpec, BasketStockSpec,
OptSpec, Strike,
accepts optional inputs as one or more commaseparated
parameter/value pairs.
Settle, Maturity, 'ParameterName'
, ParameterValue
,
...)'ParameterName'
is
the name of the parameter inside single quotes. ParameterValue
is
the value corresponding to 'ParameterName'
.
Specify parametervalue pairs in any order. Names are caseinsensitive
and partial matches are allowable, if no ambiguities exist.

Annualized, continuously compounded rate term structure. For
more information on the interest rate specification, see 



Character vector or 

Scalar of the option strike price. 

Scalar of the settlement or trade date specified as a character vector or serial date number. 

Maturity date, specified as a character vector or serial date number. 

Parameter value is an
Default: 

Scalar of the indice of the underlying instrument to compute the sensitivity. Default: 

Expected prices or sensitivities values for the basket option. 
Nengjiu Ju, "Pricing Asian and Basket Options Via Taylor Expansion", Journal of Computational Finance, Vol. 5, 2002.