Roll-Geske-Whaley Model
Calculate implied volatility, price, and sensitivity using
option pricing model for American call options
The Roll-Geske-Whaley (RGW) model is a specialized model for pricing American call options on stocks that pay a single known dividend during the life of the option. Price and analyze equity call option instruments using a Roll-Geske-Whaley model with the following functions:
Functions
impvbyrgw | Determine implied volatility using Roll-Geske-Whaley option pricing model for American call option |
optstockbyrgw | Determine American call option prices using Roll-Geske-Whaley option pricing model |
optstocksensbyrgw | Determine American call option prices or sensitivities using Roll-Geske-Whaley option pricing model |
Topics
- Equity Derivatives Using Closed-Form Solutions
Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
