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Roll-Geske-Whaley Model

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

Functions

impvbyrgwDetermine implied volatility using Roll-Geske-Whaley option pricing model for American call option
optstockbyrgwDetermine American call option prices using Roll-Geske-Whaley option pricing model
optstocksensbyrgwDetermine 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.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.

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