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Price Using Finite Differences

Price spread options using Alternate Direction Implicit (ADI) finite differences method

Functions

spreadbyfd Price European or American spread options using finite difference method
spreadsensbyfd Calculate price and sensitivities of European or American spread options using finite difference method
barrierbyfd Calculate barrier option prices using finite difference method
barriersensbyfd Calculate barrier option prices or sensitivities using finite difference method
optstockbyfd Calculate vanilla option prices using finite difference method
optstocksensbyfd Calculate vanilla option prices or sensitivities using finite difference method

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.

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.

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