www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ImpliedVolRollGeskeWhaleyOptionExample.m
%% Compute the Implied Volatility Using the Roll-Geske-Whaley Option Pricing Model % This example shows how to compute the implied volatility using the % Roll-Geske-Whaley option pricing model. Assume that on July 1, 2008 a % stock is trading at $13 and pays a single cash dividend of $0.25 on % November 1, 2008. The American call option with a strike price of $15 % expires on July 1, 2009 and is trading at $1.346. The annualized % continuously compounded risk-free rate is 5% per annum. Calculate the % implied volatility of the stock using the Roll-Geske-Whaley option % pricing model. %% % Copyright 2015 The MathWorks, Inc. AssetPrice = 13; Strike = 15; Rates = 0.05; Settle = 'July-01-08'; Maturity = 'July-01-09'; % define the RateSpec and StockSpec RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,... 'EndDates', Maturity, 'Rates', Rates, 'Compounding', -1); StockSpec = stockspec(NaN, AssetPrice, {'cash'}, 0.25, {'Nov 1,2008'}); Price = [1.346]; Volatility = impvbyrgw(RateSpec, StockSpec, Settle, Maturity, Strike, Price)