Learn more about Financial Derivatives Toolbox

Version 5.3 (R2008b) Financial Derivatives Toolbox Software

This table summarizes what's new in Version 5.3 (R2008b):

New Features and Changes	Version Compatibility Considerations	Fixed Bugs and Known Problems	Related Documentation at Web Site
Yes Details below	No	Bug Reports Includes fixes	No

New features and changes introduced in this version are:

• Support for European Chooser Options Using the Black-Scholes Model

• Support for the Black Model for European Options

• Support for the Black-Scholes Model for European Options with Different Type of Dividends

• Support for the Bjerksund-Stensland Model for American Options with Continuous Dividend

• Support for the Roll-Geske-Whaley Model for American Call Options with a Single Cash Dividend

• Enhancements to stockspec

Support for European Chooser Options Using the Black-Scholes Model

Supports the following:

Function	Purpose
chooserbybls	Prices European simple chooser options using the Black-Scholes model.

Support for the Black Model for European Options

Supports the following:

Function	Purpose
optstockbyblk	Prices options using the Black option pricing model.
optstocksensbyblk	Calculates option prices and sensitivities on futures using the Black pricing model.
impvbyblk	Calculates implied volatility using the Black option pricing model.

For more information on the Black model, see Computing Prices and Sensitivities Using the Black Model.

Support for the Black-Scholes Model for European Options with Different Type of Dividends

Supports the following:

Function	Purpose
optstockbybls	Prices options using the Black-Scholes option pricing model.
optstocksensbybls	Calculates option prices and sensitivities on futures using the Black-Scholes option pricing model.
impvbybls	Calculate implied volatility using the Black–Scholes option pricing model.

For more information on the Black-Scholes model, see Computing Prices and Sensitivities Using the Black-Scholes Model.

Support for the Bjerksund-Stensland Model for American Options with Continuous Dividend

Supports the following:

Function	Purpose
optstockbybjs	Prices options using the Bjerksund-Stensland option pricing model.
optstocksensbybjs	Calculates option prices and sensitivities on futures using the Bjerksund-Stensland option pricing model.
impvbybjs	Calculates implied volatility using the Bjerksund-Stensland option pricing model.

For more information on the Bjerksund-Stensland model, see Computing Prices and Sensitivities Using the Bjerksund-Stensland Model.

Support for the Roll-Geske-Whaley Model for American Call Options with a Single Cash Dividend

Supports the following:

Function	Purpose
optstockbyrgw	Prices options using the Roll-Geske-Whaley option pricing model.
optstocksensbyrgw	Calculates option prices and sensitivities on futures using the Roll-Geske-Whaley option pricing model.
impvbyrgw	Calculates implied volatility using the Roll-Geske-Whaley option pricing model.

For more information on the Roll-Geske-Whaley model, see Computing Prices and Sensitivities Using the Roll-Geske-Whaley Model.

Enhancements to stockspec

stockspec is now capable of handling several instruments. This modified implementation of stockspec is particularly useful when pricing equity options using some of the equity models, such as the closed-form solutions and analytical approximations. For the equity tree models, stockspec takes only the first instrument represented in the structure StockSpec to build the equity tree.

Version 5.4 (R2009a) Financial Derivatives Toolbox Software

Version 5.2 (R2008a) Financial Derivatives Toolbox Software

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