Foreign Exchange Options 1.0

Date Added: July 07, 2013 | Visits: 529

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fxoptions( S0, X, rd, rf, T, vol, style)Valuation of European and American call and put options on foreign exchange using Garman-Kohlhagen model.European option prices are given by an exact formula (Garman-Kohlhagen).American option prices are approximated using both binomial and trinomial trees.Example:Suppose that the spot price of the Canadian dollar is US $0.85 and that the CAD|USD exchange rate has a volatility of 4% per annum. The risk-free rates of interest in canada and the United States are 4% and 5% per annum, respectively.The value of an American call option expiring in nine months that gives the holder the right to buy one Canadian dollar for 0.85 USD is:>> fxoptions( .85, .85, 5/100, 4/100, 9/12, 4/100, 'a')$0.014700 (Binomial Tree)$0.014701 (Trinomial Tree)

Requirements: No special requirements

Platforms: Matlab

Keyword: 039a0390014700, Annum, Binomial, Cad Usd, Canada, Expiring, Interest, Isgtgt, Months, Rates, Respectivelythe, Riskfree, States, Tree, Trinomial, United, Volatility

Users rating: 0/10

License: Freeware

Size: 10 KB

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