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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.

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