Nengjiu Ju Model

Price European basket options using approximation model for option pricing

Functions

basketbyjuPrice European basket options using Nengjiu Ju approximation model
basketsensbyjuDetermine European basket options price or sensitivities using Nengjiu Ju approximation model
basketstockspecSpecify basket stock structure using Longstaff-Schwartz model

Examples and How To

Equity Derivatives Using Closed-Form Solutions

Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.