American Call option Pricing Approximation

Version 1.0.0.0 (4.94 KB) by S B
Roll, geske , whaley approximation of american calls and puts with one dividend.
4K Downloads
Updated 2 Mar 2005

View License

Here is the code for the pricing of an american call option with one dividend. This is the Roll, Geske,Whaley approximation of an AMerican call with one dividend. This code makes use of Bivariate normal distribution and normal distribution. More pricing options would be followed soon.

Cite As

S B (2024). American Call option Pricing Approximation (https://www.mathworks.com/matlabcentral/fileexchange/7024-american-call-option-pricing-approximation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14SP1
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Financial Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
1.0.0.0