BlackScholes.rar_BS公式_BlackScholes_black scholes_blackscholes ma

%设置随机数状态 randn('state',0); %生成三个长度为250服从几何布朗运动的路径 paths=AssetPaths(40,0.15,0.3,1,250 ,3); plot(1:length(paths),paths(1,:),'r') hold on plot(1:length(paths),paths(2,:),'b') hold on plot(1:length(paths),paths(3,:),'k') %% %标底资产价格 Price=100; %执行价格 Strike=95; %无风险收益率（年化）10% Rate=0.1 %剩余时间 Time=3/12; %年化波动率 Volatility=0.5 [Call, Put] = blsprice(100, 95, 0.1, 0.25, 0.5) %% %标底资产价格 Price=100; %执行价格 Strike=95; %无风险收益率（年化） Rate=0.1;%10% %剩余时间 Time=3/12;%=0.25; %年化波动率从0.1到0.5间隔0.01共41个数据点 Volatility=0.1:0.01:0.5; % 数组Volatility的元素个数 N=length(Volatility) Call=zeros(1,N); Put=zeros(1,N); for i=1:N [Call(i), Put(i)] = blsprice(Price, Strike, Rate, Time, Volatility(i)); end %看涨期权为虚线 plot(Call,'b--'); hold on %看跌期权为实现，‘b’表示蓝色 plot(Put,'b'); %横坐标 xlabel('Volatility') %纵坐标 ylabel('price') %线标 legend('Call','Put') %% %标底资产价格 Price=100; %执行价格 Strike=95; %无风险收益率（年化） Rate=0.1;%10% %剩余时间 Time=3/12;%=0.25; %年化波动率 Volatility=0.5; [CallDelta, PutDelta] = blsdelta(Price, Strike, Rate, Time, Volatility) %% %标底资产价格60元到100元每间隔1元 Price=60:1:100; %执行价格 Strike=95; %无风险收益率（年化） Rate=0.1;% 表示10% %剩余时间从1个月到12月每间隔1个月 Time=(1:1:12)/12; %年化波动率 Volatility=0.5; % 表示50% % meshgrid将变量网格化 [Price,Time]=meshgrid(Price,Time); [Calldelta, Putdelta] = blsdelta(Price, Strike, Rate, Time, Volatility); %mesh(Price, Time, Calldelta); %画网格图 mesh(Price, Time, Putdelta); %X轴坐标 xlabel('Stock Price '); %Y轴坐标 ylabel('Time (year)'); %Z轴坐标 zlabel('Delta'); %% %TestImpliedVolatility %市场价格 Price=100; %执行价格 Strike=95; %无风险利率 Rate=0.10; %时间（年） Time=1.0; CallPrice=15.0;%看涨期权交易价格 PutPrice=7.0; %看跌期权交易价格 %调用ImpliedVolatility函数 [Vc,Vp,Cfval,Pfval]=ImpliedVolatility(Price,Strike,Rate,Time,CallPrice,PutPrice) %% Price=100; Strike=95; Rate=0.10; Time=1.0; %波动率从0到20% Volatility=0:0.1:2.0; n=length(Volatility); Call=zeros(n,1); Put=zeros(n,1); %分别计算看涨期权价格与看跌期权价格 for i=1:n [Call(i),Put(i)] = blsprice(Price, Strike, Rate, Time, Volatility(i)); end %画子图 % subplot(2,1,1)其中“2，1”表示画一个2X1的矩阵图 %最后的参数“1”表示画第一个图，顺序是从上到下，从左到右。 subplot(2,1,1) plot(Volatility,Call,'-*'); legend('CallPrice') subplot(2,1,2) plot(Volatility,Put,'-o'); legend('PutPrice') %% %标底资产价格 Price=100; %执行价格 Strike=95; %无风险收益率（年化） Rate=0.1;%10% %剩余时间 Time=1;%; %看涨期权市价10元 Value=15; %看涨期权 Class=1 （默认） Volatility = blsimpv(Price, Strike, Rate, Time, Value) %% %标底资产价格 Price=100; %执行价格 Strike=95; %无风险收益率（年化） Rate=0.1;%10% %剩余时间 Time=6/12;%; %看涨期权 flag=1; %每阶段间个1个月 Increment=1/12; %波动率 Volatility=0.5; %调用binprice函数 [AssetPrice, OptionValue] = binprice(Price, Strike, Rate, Time, Increment, Volatility, flag) %% [Price,VarPrice,CI] = BlsMCIS(50,52,0.1,5/12,0.4,1000) %% [call,put]=blsprice(50,52,0.1,5/12,0.4) %% [Price,VarPrice,CI] = BlsMCIS(50,52,0.1,5/12,0.4,10000) %% blsmc1(50,52,0.1,5/12,0.4,10000) %% [call,put]=blsprice(50,50,0.1,5/12,0.4) %% [P,aux,ci]=DownOutPutMC(50,50,0.1,5/12,0.4,40,600,10000) %% randn('state',0) [P,CI] = AsianMC(50,50,0.1,5/12,0.4,5,50000) %% [P,CI] = AsianMCCV(50,50,0.1,5/12,0.4,5,45000,5000)