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
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/g/garmankohlhagen.m program file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:m430001

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().