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Foreign Exchange Options

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important script information
company name:
Rodolphe Sitter
license: Free
minimum requirements: MATLAB 7.5 (R2007b)
functional limitations:
Foreign Exchange Options description
fxoptions( S0, X, rd, rf, T, vol, style)Valuation of European and American call and put options on foreign exchange using Garman-Kohlhagen model.European option prices are given by an exact formula (Garman-Kohlhagen).American option prices are approximated using both binomial and trinomial trees.Example:Suppose that the spot price of the Canadian dollar is US $0.85 and that the CAD|USD exchange rate has a volatility of 4% per annum. The risk-free rates of interest in canada and the United States are 4% and 5% per annum, respectively.The value of an American call option expiring in nine months that gives the holder the right to buy one Canadian dollar for 0.85 USD is:>> fxoptions( .85, .85, 5/100, 4/100, 9/12, 4/100, 'a')$0.014700 (Binomial Tree)$0.014701 (Trinomial Tree)
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version 1.0
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