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updated 3 months ago

Stochastic Volatility Option Pricing by Justus Stoermer

Calculates option prices for the Heston stoch. vol. model and illustrates the parameter sensitivity. (finance, mathematics, fourier)

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updated 10 months ago

Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)

calcBSImpVol(cp,P,S,K,T,r,q)

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updated 2 years ago

One Touch - Price - Black Scholes - Close Form by Wei Zhang

To calculate one touch price by B/S (black scholes)

Price

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updated 2 years ago

Vanilla Option - Greeks - Black Scholes - Close Form by Wei Zhang

To calculate vanilla option greeks by B/S (black scholes)

Greeks

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updated 2 years ago

Vanilla Option - Price - Black Scholes - Close Form by Wei Zhang

To calculate vanilla option price by B/S (black scholes)

Price

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updated 3 years ago

Graphically explore the Black-Scholes-Merton Option Pricing Model by Ameya Deoras

Ameya Deoras (view profile)

Visualize option price & gradient surfaces (black scholes, option, gui)

Black-Scholes-Merton Option Pricing

priceOption(S0,K,r,T,sigma)

blsOptionPricer

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updated almost 4 years ago

Black and Scholes formula - European options on dividend paying stocks by Lorenzo Brancali

This code computes the price of a Call and a Put option on dividend paying stocks (black scholes, options, dividend)

BS(S,K,sigma,tau,r,D)

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updated 4 years ago

Binary Option Pricing Model by Moeti Ncube

Moeti Ncube (view profile)

Price Binary Options (binary option, black scholes, intrade)

binaryoption.m

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updated 5 years ago

Black-Scholes Call and Implied Vol functions by Hemingway

Hemingway (view profile)

Black-Scholes call option price and implied vol functions. No toolbox required. (implied vol, black scholes, option)

Phi(x)

PhiPrime(x)

call(S,K,r,sigma,t,T,q)

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updated 6 years ago

Valuation of stock option with discrete dividend by Biao

Biao (view profile)

Compare different pricing models for stock option with discrete dividend. (option, dividend, black scholes)

DiscreteDividend(s,k,r,t,vol,d,dt)

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