Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Roll-Geske-Whaley Model

Calculate implied volatility, price, and sensitivity using option pricing model for American call options

Functions

impvbyrgw Determine implied volatility using Roll-Geske-Whaley option pricing model for American call option
optstockbyrgw Determine American call option prices using Roll-Geske-Whaley option pricing model
optstocksensbyrgw Determine American call option prices or sensitivities using Roll-Geske-Whaley option pricing 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.

Pricing Using the Roll-Geske-Whaley Model

Calculate the price of the American calls using the Roll-Geske-Whaley option pricing model.

Concepts

Roll-Geske-Whaley Model

Use the Roll-Geske-Whaley approximation method to price American call options paying a single cash dividend.

Was this topic helpful?