Option pricing package
This package includes Matlab function for pricing various options with alternative approaches:
1) Barone-Adesi and Whaley (1987) quadratic approximation to the price of a call option
2) Price of American call option using a binomial approximation
3) Binomial option price with continous payout from the underlying commodity
4) Hedge parameters for an American call option using a binomial tree
5) Binomial option price of stock option with an underlying stock that pays proportional dividends
6) Approximation of American call due to Bjerksund and Stensland (1993)
7) Pricing an american call on an option on futures using a binomial approximation
8) Pricing a futures currency option using a binomial approximation
9) Roll-Geske-Whaley price of american call option paying one fixed dividend paying stock
10) Price for an american perpetual call option
11) Price of American put using a binomial approximation
12) Johnson (1983) approximation to an american put price
13) Analytical price of an Asian geometric average price call by Kemma and Vorst (1990)
14) Binomial approximation to a Bermudan put option
15) Partials of a European call option priced using Black-Scholes formula
16) European put option using Black-Scholes' formula
17) European put option using Black-Scholes' formula
18) Call option price for binomial european
19) Option price with continous payout from underlying asset
20) European option price with dividend-paying stock as underlying asset
21) European call option on futures contract
22) European futures call option on currency
23) European lookback call option by Goldman, Sosin and Gatto (1979)
24) Merton (1976) jump diffusion formula for a European call option
Cite As
Paolo Zagaglia (2024). Option pricing package (https://www.mathworks.com/matlabcentral/fileexchange/35351-option-pricing-package), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
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Version | Published | Release Notes | |
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1.0.0.0 |