Black-Scholes Call and Implied Vol functions 1.0

Date Added: May 18, 2013 | Visits: 554

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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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