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GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model

Agnieszka Janek and Rafał Weron ()

Statistical Software Components from Boston College Department of Economics

Abstract: GARMANKOHLHAGEN returns FX option price, (spot) delta or strike depending on the value of the TASK (= 0,1,2) parameter in the Garman and Kohlhagen (1983) option pricing model. The remaining input parameters are: FX spot S, strike/spot delta K, volatility VOL, domestic and foreign riskless interest rates RD and RF (annualized), time to expiry (in years) TAU and option type (Call/Put).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9)
Keywords: Option premium; FX option; Garman and Kohlhagen (1983) model. (search for similar items in EconPapers)
Date: 2010-12-27
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http://fmwww.bc.edu/repec/bocode/g/garmankohlhagen.m program file (text/plain)

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