MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuel d'utilisateur télécharger pdf (Page 19)

4-3

Function Purpose

spreadsensbyfd Calculate price and sensitivities of European or American

spread options using the Alternate Direction Implicit (ADI)

finite difference method.

spreadbyls Price European or American spread options using Monte Carlo

simulations.

spreadsensbyls Calculate price and sensitivities for European or American

spread options using Monte Carlo simulations.

Levy and Kemna-Vorst closed-form pricing and Monte Carlo simulation

pricing for Asian options

Support pricing and sensitivity of Asian options for the energy market using Monte Carlo

simulation and closed-form solutions.

Function Purpose

asianbyls Price European or American Asian options using the Longstaff-

Schwartz model.

asiansensbyls Calculate prices and sensitivities of European or American

Asian options using the Longstaff-Schwartz model.

asianbykv Price European geometric Asian options using the Kemna-

Vorst model.

asiansensbykv Calculate prices and sensitivities of European geometric Asian

options using the Kemna-Vorst model.

asianbylevy Price European arithmetic Asian options using the Levy model.

asiansensbylevy Calculate prices and sensitivities of European arithmetic Asian

options using the Levy model.

Additional CDS option pricing functionality for index swaptions

New example for Pricing a CDS Index Option.

Pricing functions for vanilla options using Monte Carlo simulation

Support pricing and sensitivity of vanilla options for the energy market using Monte

Carlo simulation.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuel d'utilisateur Page 19