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Option pricing package

This package includes Matlab function for pricing various options with alternative approaches:

1) Barone-Adesi and Whaley (1987) quadratic approximation to the price of a call option

2) Price of American call option using a binomial approximation

3) Binomial option price with continous payout from the underlying commodity

4) Hedge parameters for an American call option using a binomial tree

5) Binomial option price of stock option with an underlying stock that pays proportional dividends

6) Approximation of American call due to Bjerksund and Stensland (1993)

7) Pricing an american call on an option on futures using a binomial approximation

8) Pricing a futures currency option using a binomial approximation

9) Roll-Geske-Whaley price of american call option paying one fixed dividend paying stock

10) Price for an american perpetual call option

11) Price of American put using a binomial approximation

12) Johnson (1983) approximation to an american put price

13) Analytical price of an Asian geometric average price call by Kemma and Vorst (1990)

14) Binomial approximation to a Bermudan put option

15) Partials of a European call option priced using Black-Scholes formula

16) European put option using Black-Scholes' formula

17) European put option using Black-Scholes' formula

18) Call option price for binomial european

19) Option price with continous payout from underlying asset

20) European option price with dividend-paying stock as underlying asset

21) European call option on futures contract

22) European futures call option on currency

23) European lookback call option by Goldman, Sosin and Gatto (1979)

24) Merton (1976) jump diffusion formula for a European call option