American Call option Pricing Approximation

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

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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 (, MATLAB Central File Exchange. Retrieved .

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Created with R14SP1
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