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Calculation American style option in MATLAB?

by brittschuurs
Tags: american, calculation, matlab, option, style
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brittschuurs
#1
Dec6-11, 10:22 PM
P: 1
Hi all,

I am trying to calculate the implied volatility of an American style option. I found a very useful MATLAB function to determine the price of an American call/put option on www.global-derivatives.com however I want to give the option price as an input and the implied vol as the output. is there an easy way in Matlab to do this? (like a solver or so ) Or do I have to make a totally new funtion to determine the implied vol?

Thanks in advance!!

Ps. Or does anyone know an easy method to calculate the implied volatility of an American style option in Matlab?
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