American Call option Pricing Approximation 1.0

Date Added: May 11, 2013 | Visits: 615

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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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