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

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

Black-Scholes-Merton Option Pricing

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

blsOptionPricer

Option Specifications and Permutations by Eric Cousineau

A simple way to use structured option structures in functions and produce permutations. (option, management, permutation)

exampleOverlay(optsIn)

optOverlay(opts, optsIn, recurseStructs)

optPermute(optVars)

Black-Scholes Call and Implied Vol functions by Hemingway

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

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

d=d1(S,K,r,sigma,t,T)

d=d2(S,K,r,sigma,t,T)

Closed Form Option Pricer for Jump Diffusion Processes by Nils Delava

Closed Form Option Pricer for Jump Diffusion Processes (option, jump diffusion, finance)

[Call, Put]=JDClosed(S0,X,sigma,r,T,lambda,mu,v,n,flag1)

Discrete Time Option Pricer for Jump Diffusion Processes by Nils Delava

Finds value of a European option using lattice methodology under a Merton Jump Diffusion process. (call, european option, jumpdiffusion)

[answer]=JDEuropean(S0,X,r,T,sigma,D,lambda,v,mu,n,flag1)

Valuation of stock option with discrete dividend by Biao

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

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

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (heston, blackscholes, call)

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

Log-Uniform Jump-Diffusion Model by Rodolphe Sitter

European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. (diffusion, european call, jump)

BS(S0,t,K,T,Rgrow,Rdisc,sigma)

JDimpv(S0, X, r, T, a, b, lambda, value)

JDprice(S0, X, r, T, vol, a, b, lambda, m)

Foreign Exchange Options by Rodolphe Sitter

Valuation of European and American options on foreign exchange using Garman-Kohlhagen model (finance, foreign exchange, fx)

fxoptions( S0, X, rd, rf, T, vol, style)

Pricing Basket Option by Abhishek Bharadwaj

Functions for pricing of a basket option (finance, modeling, analysis)

asianbasket(basketstruct,OptSpec,ExerciseDates,Settle,N,n,r...

basketset(SPrice, Sigma, Corr, Num)

basketsim(basketstruct,T,N,n,r)

Child Window by Roy Schestowitz

Child window with parameter passing. (subwindow, child, option)

child(varargin)

main(varargin)