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Black-Scholes Call and Implied Vol functions 1.0

  Date Added: May 18, 2013  |  Visits: 290

Black-Scholes Call and Implied Vol functions

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call: function to calculate BS call pricecall_vega: BS call vega (i.e. partial derivative of call with respect to vol)Phi: normal cdfPhiPrime: normal pdfimpvol: finds vol given a call pricedemo: a script demonstrating the impvol functiond1 and d2 are auxiliary functionsNOTE: the impvol function is *hugely* faster than the financial toolbox's function blsimpv (950 call prices, other parameters fixed, impvol is ~600x faster).

Requirements: No special requirements
Platforms: Matlab
Keyword: Auxiliary Blsimpv Calculate Call Demonstrating Derivative Faster Financial Fixed Functiond Functionsnote Hugely Impvol Parameters Partial Pricecall Vega Prices Respect Script Toolbox
Users rating: 0/10

License: Freeware Size: 10 KB
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