No BSD License
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American(varargin)
AMERICAN M-file for American.fig
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AssetorNth(varargin)
ASSETORNTH M-file for AssetorNth.fig
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CashorNth(varargin)
CASHORNTH M-file for CashorNth.fig
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Chooser(varargin)
CHOOSER M-file for Chooser.fig
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Compound(varargin)
COMPOUND M-file for Compound.fig
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DerivativeGui(varargin)
DERIVATIVEGUI M-file for DerivativeGui.fig
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European(varargin)
EUROPEAN M-file for European.fig
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Exchange(varargin)
EXCHANGE M-file for Exchange.fig
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GeometricAverage(varargin)
GEOMETRICAVERAGE M-file for GeometricAverage.fig
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IndexFuture(varargin)
INDEXFUTURE M-file for IndexFuture.fig
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LookBack(varargin)
LOOKBACK M-file for LookBack.fig
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Power(varargin)
POWER M-file for Power.fig
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ExchangeValue=ExchangeOption(...
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ForwardValue=StockForward(S,d...
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OptionValue=ChooserOption(S,k...
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[Call,Put]=EuroAssetDigital(R...
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[Call,Put]=EuroDigitalGB(R,D,...
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[call,put]=FloatingLookback(S...
Floating strike Lookback option
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[call,put]=GeometricAsia(S,k,...
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[call,put]=PowerOption(S,k,r,...
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[call,put]=americanoption(s,k...
author:QuantHR
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price=EuropeanCompound(s,k1,k...
calculate european compound option;
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sum=cbnd(a,b,p)
calculation of cumulative probability in bivariate normal distribution;
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View all files
from
Matlab-GUI equity derivative calculator
by Biao
equity derivative calculator using matlab GUI
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| [Call,Put]=EuroAssetDigital(R,D,Sigma,S0,K,T)
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function [Call,Put]=EuroAssetDigital(R,D,Sigma,S0,K,T)
d1=(log(S0/K)+(R-D+Sigma^2/2)*T)/(Sigma*sqrt(T));
Call=exp(-D*T)*normcdf(d1)*S0;
Put=exp(-D*T)*normcdf(-d1)*S0; |
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