Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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

Example:
see american
Result:
option price using MC Millans formula 

Library: finance
See also: american bs1

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Sperlich, Mohrmann 970220
(C) MD*TECH Method and Data Technologies, 28.6.1999