Derivative or Function |
Valuation Model |
MATLAB File |
European Options (No Dividends) |
Black-Scholes |
|
European Options (No Dividends) |
Cox-Ross-Rubinstein |
|
European Options (No Dividends) |
Rendleman-Bartter |
|
European Options (No Dividends) |
Monte Carlo (Stratified Sampling) |
|
European Options (Continuous Yield) |
Black-Scholes-Merton |
|
European Options (Known Single Dividend) |
CRR Non-Recombining Tree |
|
European Options (Known Single Dividend) |
RB Non-Recombining Tree |
|
European Options (Known Single Dividend) |
CRR Recombining Tree |
|
European Options (Known Single Dividend) |
RB Recombining Tree |
|
Greeks (European Options, No Dividends) |
Black-Scholes |
|
Greeks (European Options, No Dividends) |
Cox-Ross-Rubinstein |
|
Greeks (European Options, No Dividends) |
Rendleman-Bartter |
|
Greeks (European Options, No Dividends) |
Monte Carlo (Stratified Sampling) |
|
Greeks (European Options, Known Dividend Amount) |
Cox-Ross-Rubinstein Recombining Tree |
|
Greeks (European Options, Known Dividend Amount) |
Rendleman-Bartter Recombining Tree |
|
Implied Volatility (European Options, No Dividends) |
Black-Scholes |
|
Implied Volatility (European Options, No Dividends) |
Cox-Ross-Rubinstein |
|
Implied Volatility (European Options, No Dividends) |
Rendleman-Bartter |
|
Implied Volatility (European Options, Single Dividend) |
Cox-Ross-Rubinstein Recombining Tree |
|
Implied Volatility (European Options, Single Dividend) |
Rendleman-Bartter Recombining Tree |
|
American Options (No Dividends) |
Cox-Ross-Rubinstein |
|
American Options (No Dividends) |
Rendleman-Bartter |
|
American Call (Single Dividend) |
Roll, Geske, and Whaley Model |
|
American Options (Known Single Dividend) |
CRR Non-Recombining Tree |
|
American Options (Known Single Dividend) |
RB Non-Recombining Tree |
|
American Options (Single Dividend) |
CRR Recombining Tree |
|
American Options (Single Dividend) |
RB Recombining Tree |
|
Greeks (American Options, No Dividends) |
Cox-Ross-Rubinstein Tree |
|
Greeks (American Options, No Dividends) |
Rendleman-Bartter Tree |
|
Greeks (American Call, Single Dividend) |
Roll, Geske, and Whaley Model |
|
Greeks (American Options, Known Dividend Amount) |
CRR Recombining Tree |
|
Greeks (American Options, Known Dividend Amount) |
RB Recombining Tree |
|
Implied Volatility (American Options, No Dividends) |
Cox-Ross-Rubinstein |
|
Implied Volatility (American Options, No Dividends) |
Rendleman-Bartter |
|
Implied Volatility (American Call Option, Single Dividend) |
Roll, Geske, and Whaley Model |
|
Implied Volatility (American Options, Single Dividend) |
Cox-Ross-Rubinstein Recombining Tree |
|
Implied Volatility (American Options, Known Dividend Amount) |
Rendleman Bartter Recombining Tree |
|
Standard Normal CDF |
Hart Algorithm |
|
Bivariate Normal CDF |
Drezner Algorithm |
|
Bivariate Normal CDF |
Drezner-Wesolowsky Algorithm |
|
Exponential CDF |
1-exp(-\Lambda*x) |
|
Cauchy CDF |
|
|
Inverse CDF (St Normal) |
Moro's Approximation |
|
Random Number Generator (St Normal) |
Inverse CDF |
|
Random Number Generator (Exponential) |
Inverse CDF |
|
Random Number Generator (Cauchy) |
Inverse CDF |
|
Fibonacci Calculator |
Recursive |
|
Fibonacci Calculator |
Non-Recursive |
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