Price Equity, FX, Commodity, or Energy Instruments
An equity derivative is a contract whose value is at least partly derived from one or more underlying equity, foreign exchange (FX), commodity, or energy securities. This toolbox provides functionality to price, compute sensitivity and hedging analysis to many equity securities. You can price vanilla, Asian, lookback, barrier, and spread options with pricing models that include lattice models, Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.
The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
Create an equity, FX, or commodity instrument object using fininstrument
,
then associate a model using finmodel
, and then
specify a pricing method using finpricer
.
Functions
Live Editor Tasks
Calibrate Pricing Model | Calibrate option pricing model in the Live Editor (Since R2022a) |
Objects
Topics
- Price Spread Instrument for a Commodity Using BlackScholes Model and Analytic Pricers
This example shows the workflow to price a commodity
Spread
instrument when you use aBlackScholes
model andKirk
andBjerksundStensland
analytic pricing methods. - Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers
This example shows how to compare European
Vanilla
instrument call option prices using aBlackScholes
model and different pricing methods. - Use Black-Scholes Model to Price Asian Options with Several Equity Pricers
This example shows how to compare arithmetic and geometric Asian option prices using the
BlackScholes
model and various pricing methods. - Hedge Options Using Reinforcement Learning Toolbox
Outperform the traditional BSM approach using an optimal option hedging policy.
- Use Deep Learning to Approximate Barrier Option Prices with Heston Model
This example shows how to use Deep Learning Toolbox™ to train a network and obtain predictions on barrier option prices with a Heston model.
- Calibrate Option Pricing Model Using Heston Model
This example shows how to use the Calibrate Pricing Model Live Editor task to calibrate a
Heston
pricing model to call option prices from the market. - Price Weather Derivatives
This example demonstrates a workflow for pricing weather derivatives based on historically observed temperature data.
- Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments
Use objects to model and price financial instruments.
- Choose Instruments, Models, and Pricers
Select instruments, associated models, and associated pricers.
- Supported Exercise Styles
The following table lists the interest-rate instrument objects with their associated models and pricers and supported
Exercise
styles. - Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers
Mapping functions to a workflow using objects for instruments, models, and pricers.