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Price Using Closed-Form Solutions

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

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
lookbackbycvgsgCalculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsgCalculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
optstockbyblkPrice options on futures and forwards using Black option pricing model
optstocksensbyblkDetermine option prices or sensitivities using Black-Scholes option pricing model
optstockbybawCalculate American options prices using Barone-Adesi and Whaley option pricing model
optstocksensbybawCalculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model
impvbybawCalculate implied volatility using Barone-Adesi and Whaley option pricing model

Examples and How To

Pricing European and American Spread Options

This example shows how to price and calculate sensitivities for European and American spread options using various techniques.

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 four methods in the Financial Instruments Toolbox™.

Concepts

Supported Energy Derivatives

Energy derivatives supported by Financial Instruments Toolbox™.

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