Code covered by the BSD License
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bisect(S0,k,r,T,sigma,D1,t1)
bisectional method of finding the value of S_Star to be used in
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bivnormcdf(a,b,rho)
Gives the bivariate normal disribution function probabilities
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bsprice(S, k, r, T, sigma)
Call and put prices of black-Scholes Equation
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normcdfM(x)
Gives the normal cumulative density function probabilities
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rogewhaley(S0,k,r,T,sigma,D1,...
Roll, Geske, Whaley approximation of an American Call Price
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Readme.m
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from
American Call option Pricing Approximation
by S B
Roll, geske , whaley approximation of american calls and puts with one dividend.
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| bsprice(S, k, r, T, sigma)
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function [c,p] = bsprice(S, k, r, T, sigma)
%Call and put prices of black-Scholes Equation
%%Inputs
%S0 = Current Stock price
%k = strike price
%sigma = Volatility
%T: Time to maturity in years.
%r: risk free rate
%Author: Sivakumar Batthala
%MBA candidate
%Chicago Graduate School of Business
%University of chicago
%Date:02/23/2005
%Please email sbatthal@gsb.uchicago.edu for any clarifications or errors.
d1 = (log(S/k) + (r+(0.5*(sigma^2)))*T)/(sigma*sqrt(T));
d2 = d1 - (sigma*sqrt(T));
c = S*normcdfM(d1) - (k*exp(-r*T)*normcdfM(d2));
p = k*exp(-r*T)*normcdfM(-d2) - (S*normcdfM(-d1)); |
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