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Matlab-GUI equity derivative calculator

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Matlab-GUI equity derivative calculator

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24 May 2007 (Updated )

equity derivative calculator using matlab GUI

[call,put]=PowerOption(S,k,r,T,sigma,d,a)
function [call,put]=PowerOption(S,k,r,T,sigma,d,a)

%S: price of stock; d: dividend rate; 
%T: time to maturity; a: gearing factor;

[call,put]=blsp(S^a,k,r,T,a*sigma,(1-a)*r+a*d-a*(a-1)*sigma^2/2);

function [call,put]=blsp(S,k,r,T,sigma,d)
d1 = log(S/k) + (r - d + sigma^2/2) * T;
d1 = d1 /(sigma*sqrt(T)); 
d2 = d1 - (sigma*sqrt(T));

d1(isnan(d1)) = 0;
d2(isnan(d2)) = 0;

call = S* exp(-d*T) * normcdf( d1) - ...
	         k* exp(-r*T) * normcdf( d2);
put = k* exp(-r*T) * normcdf(-d2) - ...
	         S* exp(-d*T) * normcdf(-d1);

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