Usage: |
mcmillan(eopv,sel,task,ingred)
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Input: |
| eopv | scalar, price of the European option
|
| sel | 2 x 1 vector, sel=1|0 means 'call', sel=0|1 'put'
|
| task | scalar, specifies the dividend payment:
for task=1, no dividend is paid,
for task=2, a continuously paid dividend is considered,
for task=3, a fixed dividend at the end of T is assumed,
for task=4, an exchange rate is assumed as underlyer.
Note that if the underlying asset is a commodity, then the
additional costs (e.g. storage or insurance) are modelled
as negative continuously paid dividends.
|
| ingred | 6 x 1 vector; the first column represents the stock price,
the second the strike price, the third column
the time to expiration, the fourth specifies the
volatility, the fifth the domestic interest rate
and the sixth one the dividend.
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