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

Author

Listed:
  • Agnieszka Janek

    (Wroclaw University of Technology)

  • Rafal Weron

    (Wroclaw University of Technology)

Programming Language

MATLAB

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).

Suggested Citation

  • Agnieszka Janek & Rafal Weron, 2010. "GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model," Statistical Software Components M430001, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:m430001
    as

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