www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/AmericanCallOptRollGeskeWhaleyExample.m
%% Determine American Call Option Prices Using Roll-Geske-Whaley Option Pricing Model % This example shows how to determine American call option prices using % Roll-Geske-Whaley option pricing model. Consider an American call option % with an exercise price of $22 that expires on February 1, 2009. The % underlying stock is trading at $20 on June 1, 2008 and has a volatility % of 20% per annum. The annualized continuously compounded risk-free rate % is 6.77% per annum. The stock pays a single dividend of $2 on September % 1, 2008. Using this data, compute price of the American call option using % the Roll-Geske-Whaley option pricing model. %% % Copyright 2015 The MathWorks, Inc. Settle = 'Jun-01-2008'; Maturity = 'Feb-01-2009'; AssetPrice = 20; Strike = 22; Sigma = 0.2; Rate = 0.0677; DivAmount = 2; DivDate = 'Sep-01-2008'; % define the RateSpec and StockSpec RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, 'EndDates',... Maturity, 'Rates', Rate, 'Compounding', -1, 'Basis', 0); StockSpec = stockspec(Sigma, AssetPrice, {'cash'}, DivAmount, DivDate); Price = optstockbyrgw(RateSpec, StockSpec, Settle, Maturity,Strike)