Bates Model
Calculate vanilla European option prices and sensitivities using
Bates model
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.
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