Determine American call option prices or sensitivities using Roll-Geske-Whaley option pricing model
computes American call option prices or sensitivities using the Roll-Geske-Whaley option
pricing model.PriceSens
= optstocksensbyrgw(RateSpec
,StockSpec
,Settle
,Maturity
,OptSpec
,Strike
)
Note
optstocksensbyrgw
computes prices of American calls with a
single cash dividend using the Roll-Geske-Whaley option pricing model. All
sensitivities are evaluated by computing a discrete approximation of the partial
derivative. This means that the option is revalued with a fractional change for each
relevant parameter, and the change in the option value divided by the increment, is
the approximated sensitivity value.
adds an optional name-value pair argument for PriceSens
= optstocksensbyrgw(___,Name,Value
)OutSpec
.