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American Call option Pricing Approximation 1.0

  Date Added: May 11, 2013  |  Visits: 298

American Call option Pricing Approximation

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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.

Requirements: No special requirements
Platforms: Matlab
Keyword: American Approximation Bivariate Distribution Dividend Geskewhaley Makes Normal Option Options Pricing
Users rating: 0/10

License: Shareware Size: 10 KB
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