Version 5.3 (R2008b) Financial Derivatives Toolbox Software :: Financial Derivatives Toolbox Release Notes (Financial Derivatives Toolbox™)

Version 5.3 (R2008b) Financial Derivatives Toolbox™ Software Release Notes

Version 5.2 (R2008a) Financial Derivatives Toolbox Software

Version 5.3 (R2008b) Financial Derivatives Toolbox Software

This table summarizes what's new in Version 5.3 (R2008b):

New Features and Changes	Version Compatibility Considerations	Fixed Bugs and Known Problems	Related Documentation at Web Site
Yes Details below	No	Bug Reports Includes fixes	Printable Release Notes: PDF Current product documentation

New Features and Changes

Version Compatibility Considerations

Fixed Bugs and Known Problems

Support for European Chooser Options Using Black-Scholes Model

Supports the following:

Function	Purpose
`chooserbybls`	Prices European simple chooser options using the Black-Scholes model

Support for Black Model for European Options

Supports the following:

Function	Purpose
`optstockbyblk`	Prices options using the Black option pricing model
`optstocksensbyblk`	Calculates option prices and sensitivities on futures using the Black pricing model
`impvbyblk`	Calculates implied volatility using the Black option pricing model

For more information on the Black model, see Computing Prices and Sensitivities Using the Black Model.

Support for Black-Scholes Model for European Options with Different Type of Dividends

Supports the following:

Function	Purpose
`optstockbybls`	Prices options using the Black-Scholes option pricing model
`optstocksensbybls`	Calculates option prices and sensitivities on futures using the Black-Scholes option pricing model
`impvbybls`	Calculate implied volatility using the Black–Scholes option pricing model

For more information on the Black-Scholes model, see Computing Prices and Sensitivities Using the Black-Scholes Model.

Support for Bjerksund-Stensland Model for American Options with Continuous Dividend

Supports the following:

Function	Purpose
`optstockbybjs`	Prices options using the Bjerksund-Stensland option pricing model
`optstocksensbybjs`	Calculates option prices and sensitivities on futures using the Bjerksund-Stensland option pricing model
`impvbybjs`	Calculates implied volatility using the Bjerksund-Stensland option pricing model

For more information on the Bjerksund-Stensland model, see Computing Prices and Sensitivities Using the Bjerksund-Stensland Model.

Support for Roll-Geske-Whaley Model for American Call Options with a Single Cash Dividend

Supports the following:

Function	Purpose
`optstockbyrgw`	Prices options using the Roll-Geske-Whaley option pricing model
`optstocksensbyrgw`	Calculates option prices and sensitivities on futures using the Roll-Geske-Whaley option pricing model
`impvbyrgw`	Calculates implied volatility using the Roll-Geske-Whaley option pricing model

For more information on the Roll-Geske-Whaley model, see Computing Prices and Sensitivities Using the Roll-Geske-Whaley Model.

Enhancements to `stockspec`

stockspec is now capable of handling several instruments. This modified implementation of stockspec is particularly useful when pricing equity options using some of the equity models, such as the closed-form solutions and analytical approximations. For the equity tree models, stockspec takes only the first instrument represented in the structure StockSpec to build the equity tree.

Financial Derivatives Toolbox Release Notes

Version 5.2 (R2008a) Financial Derivatives Toolbox Software