optSensByMertonFD
Option price and sensitivities by Merton76 model using finite differences
Syntax
Description
[
computes a vanilla European or American option price and sensitivities by the Merton76
model, using the Crank-Nicolson Adams-Bashforth (CNAB) IMEX method.PriceSens
,PriceGrid
,AssetPrices
,Times
] = optSensByMertonFD(Rate
,AssetPrice
,Settle
,ExerciseDates
,OptSpec
,Strike
,Sigma
,MeanJ
,JumpVol
,JumpFreq
)
Note
Alternatively, you can use the Vanilla
object to calculate
price or sensitivities for vanilla options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
specifies options using one or more name-value pair arguments in addition to the input
arguments in the previous syntax. PriceSens
,PriceGrid
,AssetPrices
,Times
] = optSensByMertonFD(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Cont, R., and E. Voltchkova. “A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models.” SIAM Journal on Numerical Analysis. Vol. 43, Number 4, 2005, pp. 1596-1626.
[2] Merton, R. "Option Pricing When Underlying Stock Returns Are Discontinuous." The Journal of Financial Economics. Vol 3. 1976, pp. 125-144.
Version History
Introduced in R2019aSee Also
optByLocalVolFD
| optSensByLocalVolFD
| optByHestonFD
| optSensByHestonFD
| optByBatesFD
| optSensByBatesFD
| optByMertonFD
| Vanilla