www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputeOptionPricesonaForwardExample.m
%% Compute Option Prices on a Forward % This example shows how to compute option prices on forwards using the % Black pricing model. Consider two European options, a call and put on % the Brent Blend forward contract that expires on January 1, 2015. The % options expire on October 1, 2014 with an exercise price of $200 and $98 % respectively. Assume that on January 1, 2014 the forward price is at $107, % the annualized continuously compounded risk-free rate is 3% per annum % and volatility is 28% per annum. Using this data, compute the price of % the options. % Copyright 2015 The MathWorks, Inc. %% % Define the |RateSpec|. ValuationDate = 'Jan-1-2014'; EndDates = 'Jan-1-2015'; Rates = 0.03; Compounding = -1; Basis = 1; RateSpec = intenvset('ValuationDate', ValuationDate, ... 'StartDates', ValuationDate, 'EndDates', EndDates, 'Rates', Rates,.... 'Compounding', Compounding, 'Basis', Basis') %% % Define the |StockSpec|. AssetPrice = 107; Sigma = 0.28; StockSpec = stockspec(Sigma, AssetPrice); %% % Define the options. Settle = 'Jan-1-2014'; Maturity = 'Oct-1-2014'; %Options maturity Strike = [200;90]; OptSpec = {'call'; 'put'}; %% % Price the forward call and put options. ForwardMaturity = 'Jan-1-2015'; % Forward contract maturity Price = optstockbyblk(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike,... 'ForwardMaturity', ForwardMaturity)