www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ImpliedVolBlackOptionPricingModExample.m
%% Compute the Implied Volatility Using the Black Option Pricing Model % This example shows how to compute the implied volatility using the Black % option pricing model. Consider a European call and put options on a futures contract with % exercise prices of $30 for the put and $40 for the call that expire on % September 1, 2008. Assume that on May 1, 2008 the contract is trading at % $35. The annualized continuously compounded risk-free rate is 5% per % annum. Find the implied volatilities of the stock, if on that date, % the call price is $1.14 and the put price is $0.82. %% % Copyright 2015 The MathWorks, Inc. AssetPrice = 35; Strike = [30; 40]; Rates = 0.05; Settle = 'May-01-08'; Maturity = 'Sep-01-08'; % define the RateSpec and StockSpec RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,... 'EndDates', Maturity, 'Rates', Rates, 'Compounding', -1); StockSpec = stockspec(NaN, AssetPrice); % define the options OptSpec = {'put';'call'}; Price = [1.14;0.82]; Volatility = impvbyblk(RateSpec, StockSpec, Settle, Maturity, OptSpec,... Strike, Price) %% % The implied volatility is 41% and 30%.