Price Using Finite Differences

Price options using Alternate Direction Implicit (ADI) and Crank-Nicolson finite differences methods

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
`dblbarrierbyfd`	Calculate double barrier option price using finite difference method
`dblbarriersensbyfd`	Calculate double barrier option price and 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
`optByLocalVolFD`	Option price by local volatility model, using finite differences
`optSensByLocalVolFD`	Option price and sensitivities by local volatility model, using finite differences
`optByHestonFD`	Option price by Heston model using finite differences
`optSensByHestonFD`	Option price and sensitivities by Heston model using finite differences
`optByBatesFD`	Option price by Bates model using finite differences
`optSensByBatesFD`	Option price and sensitivities by Bates model using finite differences
`optByMertonFD`	Option price by Merton76 model using finite differences
`optSensByMertonFD`	Option price and sensitivities by Merton76 model using finite differences

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

Equity derivative instrument functions supported by Financial Instruments Toolbox™.