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Foreign Exchange Options 1.0
File ID: 79714






Foreign Exchange Options 1.0
Download Foreign Exchange Options 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 10.0 KB
Downloads: 44
User Rating:2 Stars  (2 ratings)
Submit Rating:
Foreign Exchange Options 1.0 Description
Description: fxoptions( S0, X, rd, rf, T, vol, style)

Valuation of European and American call and put options on foreign exchange using Garman-Kohlhagen model.
European option prices are given by an exact formula (Garman-Kohlhagen).
American option prices are approximated using both binomial and trinomial trees.

Example:

Suppose that the spot price of the Canadian dollar is US $0.85 and that the CAD|USD exchange rate has a volatility of 4% per annum. The risk-free rates of interest in canada and the United States are 4% and 5% per annum, respectively.
The value of an American call option expiring in nine months that gives the holder the right to buy one Canadian dollar for 0.85 USD is:

>> fxoptions( .85, .85, 5/100, 4/100, 9/12, 4/100, 'a')

$0.014700 (Binomial Tree)
$0.014701 (Trinomial Tree)

License: Freeware

Related: Canada, United, States, respectivelythe, Interest, rates, cad usd, volatility, annum, riskfree, expiring, 039a0390014700, binomial, Tree, trinomial, isgtgt, months

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 44



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