Foreign Exchange Options

Version 1.0.0.0 (2,36 ko) par Rodolphe Sitter
Valuation of European and American options on foreign exchange using Garman-Kohlhagen model
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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)

Citation pour cette source

Rodolphe Sitter (2025). Foreign Exchange Options (https://www.mathworks.com/matlabcentral/fileexchange/23811-foreign-exchange-options), MATLAB Central File Exchange. Extrait(e) le .

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Créé avec R2007b
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Inspiré par : Kernel Smoothing Regression

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Version Publié le Notes de version
1.0.0.0