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 |
Topics
- Equity Derivatives Using Closed-Form Solutions
Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
You can also select a web site from the following list:
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)