www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/OptionPriceFuturesBlackOptioExample.m
%% Compute Option Prices on Futures Using the Black Option Pricing Model % This example shows how to compute option prices on futures using the % Black option pricing model. Consider two European call options on a % futures contract with exercise prices of $20 and $25 that expire on % September 1, 2008. Assume that on May 1, 2008 the contract is trading at % $20, and has a volatility of 35% per annum. The risk-free rate is 4% per % annum. Using this data, calculate the price of the call futures options % using the Black model. %% % Copyright 2015 The MathWorks, Inc. Strike = [20; 25]; AssetPrice = 20; Sigma = .35; Rates = 0.04; 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(Sigma, AssetPrice); % define the call options OptSpec = {'call'}; Price = optstockbyblk(RateSpec, StockSpec, Settle, Maturity,... OptSpec, Strike)