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updated 1 year 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 1 year ago

Corrado and Su (1996) European Option Prices by Semin Ibisevic

Compute European put and call option prices using the Corrado and Su (1996) model. (option pricing, european, call)

csprice.m

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updated almost 3 years ago

Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. by Haidar Haidar

This computes an approximation of American Put option value and can plot it against asset's price (blackscholes, option valuation, derivatives)

[P,S,S_SS]=A_Put_Adesi_Whaley(S,E,r,sigma,T)

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updated 5 years ago

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (finance, stochastic, volatility)

Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)

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updated 5 years ago

Volatility Surface by Rodolphe Sitter

Compute and Plot Volatility Surfaces from Market Prices (volatility, surface, implied volatility)

VolSurface(S0, r, T, K, CallPrice)

Example1.m

Example2.m

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updated 6 years ago

3D Plot for Greeks by Rodolphe Sitter

Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call (2d, greeks, finance)

VisualizeGreeks(varargin)

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updated 6 years ago

Simple option pricing GUI by Ameya Deoras

A GUI that presents the results of a Black-Scholes and a Monte Carlo European option pricer (finance, modeling, analysis)

optPriceVal(type, Price, Strike, Rate, Time, Vol, Yield, ...

optionpricegui2(varargin)

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