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Bates Model

Calculate vanilla European option prices and sensitivities using Bates model

Functions

optByBatesFFTOption price by Bates model using FFT and FRFT
optSensByBatesFFTOption price and sensitivities by Bates model using FFT and FRFT
optByBatesNIOption price by Bates model using numerical integration
optSensByBatesNIOption price or sensitivities by Bates model using numerical integration
optByBatesFDOption price by Bates model using finite differences (Since R2019a)
optSensByBatesFDOption price and sensitivities by Bates model using finite differences (Since R2019a)

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