Foreign Exchange Options

Versione 1.0.0.0 (2,36 KB) da Rodolphe Sitter
Valuation of European and American options on foreign exchange using Garman-Kohlhagen model
0.0
(0)
2,3K download
Aggiornato 17 apr 2009

Visualizza la licenza

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)

Cita come

Rodolphe Sitter (2024). Foreign Exchange Options (https://www.mathworks.com/matlabcentral/fileexchange/23811-foreign-exchange-options), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2007b
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Riconoscimenti

Ispirato da: Kernel Smoothing Regression

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Versione Pubblicato Note della release
1.0.0.0