Roll-Geske-Whaley Model
Calculate implied volatility, price, and sensitivity using
option pricing model for American call options
Functions
impvbyrgw | Determine implied volatility using Roll-Geske-Whaley option pricing model for American call option |
optstockbyrgw | Determine American call option prices using Roll-Geske-Whaley option pricing model |
optstocksensbyrgw | Determine American call option prices or sensitivities using Roll-Geske-Whaley option pricing model |
Examples and How To
- Equity Derivatives Using Closed-Form Solutions
Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.
Concepts
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
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