OptBinVal(iS0, iVola, iRate, iStrike, iType, iClass, iExpiry, iNoSteps)

Version 1.0.0.0 (3.11 KB) by Mario Santos
Pricing function for plain vanilla options using binomial trees
0.0
(0)
81 Downloads
Updated 24 Oct 2015

View License

This is a simple (yet quite useful for learning purposes) function that calculates the price of a plain vanilla option (american, european, call and / or put) by using binomial trees.
The output is made of:
- Stock price paths.
- Option price paths.
- Option price at inception.
- Delta values for each node.

Any question about the code will be pleasantly answered @ mariosantossanz89@gmail.com

Cite As

Mario Santos (2024). OptBinVal(iS0, iVola, iRate, iStrike, iType, iClass, iExpiry, iNoSteps) (https://www.mathworks.com/matlabcentral/fileexchange/53661-optbinval-is0-ivola-irate-istrike-itype-iclass-iexpiry-inosteps), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Tags Add Tags

Community Treasure Hunt

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

Start Hunting!

Version Published Release Notes
1.0.0.0