Library: | finance |
See also: | american bs1 |
Macro: | mcmillan | |
Description: | calculates option prices using the MC Millan formula |
Usage: | mcmillan(eopv,sel,task,ingred) | |
Input: | ||
eopv | scalar , value of the european option | |
sel | 2 x 1 vector , if sel[1]=1 'call', else 'put' | |
task | scalar , =1 without dividend =2 with continuously paid dividend =3 with a fixed dividend at the end of T =4 if for exchange rate | |
ingred | 6 x 1 vector , stock price, strike price, time of expiration, volatility, domain interest rate, dividend |
see american
option price using MC Millans formula
Library: | finance |
See also: | american bs1 |