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Calculate price and sensitivities of European or American spread options using finite difference method

`PriceSens = spreadsensbyfd(RateSpec,StockSpec1,StockSpec2,Settle,Maturity,OptSpec,Strike,Corr)`

`PriceSens = spreadsensbyfd(___,Name,Value)`

```
[PriceSens,PriceGrid,AssetPrice1,AssetPrice2,Times]
= spreadsensbyfd(RateSpec,StockSpec1,StockSpec2,Settle,Maturity,OptSpec,Strike,Corr)
```

```
[PriceSens,PriceGrid,AssetPrice1,AssetPrice2,Times]
= spreadsensbyfd(___,Name,Value)
```

returns
the price and sensitivities of European or American call or put spread
options using the Alternate Direction Implicit (ADI) finite difference
method. The spread is between the asset defined in `PriceSens`

= spreadsensbyfd(`RateSpec`

,`StockSpec1`

,`StockSpec2`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

,`Corr`

)`StockSpec1`

minus
the asset defined in `StockSpec2`

.

adds optional name-value pair arguments.`PriceSens`

= spreadsensbyfd(___,`Name,Value`

)

`[`

returns
the `PriceSens`

,`PriceGrid`

,`AssetPrice1`

,`AssetPrice2`

,`Times`

]
= spreadsensbyfd(`RateSpec`

,`StockSpec1`

,`StockSpec2`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

,`Corr`

)`PriceSens`

, `PriceGrid`

, `AssetPrice1`

, `AssetPrice2`

,
and `Times`

for European or American call or put
spread options using the Alternate Direction Implicit (ADI) finite
difference method. The spread is between the asset defined in `StockSpec1`

minus
the asset defined in `StockSpec2`

.

`[`

returns the `PriceSens`

,`PriceGrid`

,`AssetPrice1`

,`AssetPrice2`

,`Times`

]
= spreadsensbyfd(___,`Name,Value`

)`PriceSens`

, `PriceGrid`

,
`AssetPrice1`

, `AssetPrice2`

, and
`Times`

and adds optional name-value pair arguments.

[1] Carmona, R., Durrleman, V. “Pricing and Hedging Spread
Options.” *SIAM Review.* Vol. 45, No. 4,
pp. 627–685, Society for Industrial and Applied Mathematics,
2003.

[2] Villeneuve, S., Zanette, A. “Parabolic ADI Methods for
Pricing American Options on Two Stocks.” *Mathematics
of Operations Research.* Vol. 27, No. 1, pp. 121–149,
INFORMS, 2002.

[3] Ikonen, S., Toivanen, J. *Efficient Numerical Methods
for Pricing American Options Under Stochastic Volatility.* Wiley
InterScience, 2007.

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