www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputetheOptionPriceonaFutureExample.m
%% Compute the Option Price on a Future % Consider a call European option on the Crude Oil Brent futures. The option % expires on December 1, 2014 with an exercise price of $120. Assume that % on April 1, 2014 futures price is at $105, the annualized continuously % compounded risk-free rate is 3.5% per annum and volatility is 22% per % annum. Using this data, compute the price of the option. % Copyright 2015 The MathWorks, Inc. %% % Define the |RateSpec|. ValuationDate = 'January-1-2014'; EndDates = 'January-1-2015'; Rates = 0.035; Compounding = -1; Basis = 1; RateSpec = intenvset('ValuationDate', ValuationDate, 'StartDates', ValuationDate,... 'EndDates', EndDates, 'Rates', Rates, 'Compounding', Compounding, 'Basis', Basis') %% % Define the |StockSpec|. AssetPrice = 105; Sigma = 0.22; StockSpec = stockspec(Sigma, AssetPrice) %% % Define the option. Settle = 'April-1-2014'; Maturity = 'Dec-1-2014'; Strike = 120; OptSpec = {'call'}; %% % Price the futures call option. Price = optstockbyblk(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike)