Bates Model

Calculate vanilla European option prices and sensitivities using Bates model

By combining stochastic volatility with jumps, the Bates model provides a comprehensive framework for pricing vanilla options. Price and analyze vanilla option instruments using a Bates model with the following functions:

Functions

`optByBatesFFT`	Option price by Bates model using FFT and FRFT
`optSensByBatesFFT`	Option price and sensitivities by Bates model using FFT and FRFT
`optByBatesNI`	Option price by Bates model using numerical integration
`optSensByBatesNI`	Option price or sensitivities by Bates model using numerical integration
`optByBatesFD`	Option price by Bates model using finite differences
`optSensByBatesFD`	Option price and sensitivities by Bates model using finite differences

Topics

Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.