NumericalIntegration
Create NumericalIntegration
pricer object for
Vanilla
instrument using Heston
,
Bates
, or Merton
model
Description
Create and price a Vanilla
instrument object with a
Heston
, Bates
, or Merton
model and a NumericalIntegration
pricing method using this
workflow:
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available pricing methods for a Vanilla
instrument, see Choose Instruments, Models, and Pricers.
Creation
Syntax
Description
creates a NumericalIntegrationPricerObj
= finpricer(PricerType
,'Model
',model,'DiscountCurve
',ratecurve_obj,'SpotPrice
',spotprice_value)NumericalIntegration
pricer object by
specifying PricerType
and sets the properties for
the required name-value pair arguments Model
,
DiscountCurve
, and
SpotPrice
.
sets optional properties
using additional name-value pairs in addition to the required arguments in
the previous syntax. For example, NumericalIntegrationPricerObj
= finpricer(___,Name,Value
)NumericalIntegrationPricerObj =
finpricer("NumericalIntegration",'Model',NIModel,'DiscountCurve',ratecurve_obj,'SpotPrice',1000,'DividendValue',100,'VolRiskPremium',0.9)
creates a NumericalIntegration
pricer object. You can
specify multiple name-value pair arguments.
Input Arguments
Name-Value Arguments
Output Arguments
Properties
Object Functions
price | Compute price for equity instrument with NumericalIntegration
pricer |
Examples
More About
References
[1] Albrecher, H., P. Mayer, W. Schoutens, and J. Tistaert. “The Little Heston Trap.” Working Paper, Linz and Graz University of Technology, K.U. Leuven, ING Financial Markets, 2006.
Version History
Introduced in R2020a