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)