| 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 |
|