| Library: | finance |
| See also: | american bs1 |
| Quantlet: | 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 |