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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
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 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™.

Spread Option

A spread option is an option written on the difference of two underlying assets.

Asian Option

An Asian option is a path-dependent option with a payoff linked to the average value of the underlying asset during the life of the option.

Lookback Option

A lookback option is a path-dependent option based on the maximum or minimum value the underlying asset achieves during the entire life of the option.

Forwards Option

A forward option is a non-standardized contract between two parties to buy or to sell an asset at a specified future time at a price agreed upon today.

Futures Option

A future option is a standardized contract between two parties to buy or sell a specified asset for a price agreed upon today with delivery and payment occurring at a specified delivery date.

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