Calculation American style option in MATLAB?


by brittschuurs
Tags: american, calculation, matlab, option, style
brittschuurs
brittschuurs is offline
#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?
Phys.Org News Partner Engineering news on Phys.org
Researchers propose network-based evaluation tool to assess relief operations feasibility
Large streams of data warn cars, banks and oil drillers
Engineering student developing traffic forecasts

Register to reply

Related Discussions
Drag Calculation from Matlab General Physics 0
Drag Calculation from Matlab General Math 0
Matlab coding problem (Black-Scholes Option Pricing content) Math & Science Software 0
Matlab Numerical Integration - Syntax/Style Query Math & Science Software 0
American or British style Democracy? Current Events 3