Package |
Archive Type |
Description |
||
| Implied Volatility | Zip | Stuffit | Perform efficient implied volatility estimation when prices are observed with measurement errors. (Requires the following packages from my web pages: Options, Distributions, Utility, Strings/IO. The last three are in the Statistics section.) | |
| Options | Zip | Stuffit | Compute Black–Scholes option prices, derivatives, implied volatlities, and optimal implied volatility averages. (Requires the following Statistics packages from my web pages: Distributions, Utility.) | |
| Power Utility | Zip | Stuffit | Find optimal portfolio weights for a power-utility investor. | |
After downloading the archives, decompress them (see below), and install the functions somewhere on the MatLab search path. Do this either by placing the functions in a directory on the current path, or by updating the path.
The functions are minimally documented using the standard MatLab help system. In MatLab command mode, type "help fn" to get basic help for the function fn. There should be no difficulty in determining calling conventions and interpretation of results based on this minimal documentation.
The major archives also contain a ReadMe.m file that outlines the basic purpose of the functions in the archive.
All archives have been compressed using Zip or Stuffit and require the appropriate decompression software. Free copies of Stuffit Expander are available from Aladdin Systems. Zip utilities can be obtained from Targetfour but Stuffit Expander can also decompress Zip archives.
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