www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/OptionPricesSensitiOnFutureBlacExample.m
%% Compute Option Prices and Sensitivities on Futures Using the Black Pricing Model % This example shows how to compute option prices and sensitivities on % futures using the Black pricing model. Consider a European put option on a % futures contract with an exercise price of $60 that expires on June 30, % 2008. On April 1, 2008 the underlying stock is trading at $58 and has a % volatility of 9.5% per annum. The annualized continuously compounded % risk-free rate is 5% per annum. Using this data, compute % |delta|, |gamma|, and the |price| of the put option. %% % Copyright 2015 The MathWorks, Inc. AssetPrice = 58; Strike = 60; Sigma = .095; Rates = 0.05; Settle = 'April-01-08'; Maturity = 'June-30-08'; % define the RateSpec and StockSpec RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, 'EndDates',... Maturity, 'Rates', Rates, 'Compounding', -1, 'Basis', 1); StockSpec = stockspec(Sigma, AssetPrice); % define the options OptSpec = {'put'}; OutSpec = {'Delta','Gamma','Price'}; [Delta, Gamma, Price] = optstocksensbyblk(RateSpec, StockSpec, Settle,... Maturity, OptSpec, Strike,'OutSpec', OutSpec)