www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputeOptionPricesonForeignCurrenciesUsingtheGarmanKohlExample.m
%% Compute Option Prices on Foreign Currencies Using the Garman-Kohlhagen Option Pricing Model %% % This example shows how to compute option prices on foreign currencies % using the Garman-Kohlhagen option pricing model. Consider a European put % option on a currency with an exercise price of $0.50 on October 1, 2015. % The option expires on June 1, 2016. Assume that the current exchange rate % is $0.52 and has a volatility of 12% per annum. The annualized continuously % compounded domestic risk-free rate is 4% per annum and the foreign risk-free % rate is 8% per annum. Using this data, compute the price of the option % using the Garman-Kohlhagen model. Settle = 'October-01-2015'; Maturity = 'June-01-2016'; AssetPrice = 0.52; Strike = 0.50; Sigma = .12; Rates = 0.04; ForeignRate = 0.08; %% % Define the |RateSpec|. RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, 'EndDates',... Maturity, 'Rates', Rates, 'Compounding', -1) %% % Define the |StockSpec|. DividendType = 'Continuous'; DividendAmounts = ForeignRate; StockSpec = stockspec(Sigma, AssetPrice, DividendType, DividendAmounts) %% % Price the European put option. OptSpec = {'put'}; Price = optstockbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike)