GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model.

Abstract

GARMANKOHLHAGEN returns FX option price, (spot) delta or strike depending on the value of the TASK (= 0,1,2) parameter in the Garman and Kohlhagen (1983) option pricing model. The remaining input parameters are: FX spot S, strike/spot delta K, volatility VOL, domestic and foreign riskless interest rates RD and RF (annualized), time to expiry (in years) TAU and option type (Call/Put).Option premium, FX option, Garman and Kohlhagen (1983) model.