www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaBarrierEuropeanDownOutCallOptionUsingtheBlackScholExample.m
%% Price an European Barrier Down Out Call Option %% % Compute the price of an European barrier down out call option using the following data: Rates = 0.035; Settle = '01-Jan-2015'; Maturity = '01-jan-2016'; Compounding = -1; Basis = 1; %% % Define a |RateSpec|. RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, 'EndDates', Maturity, ... 'Rates', Rates, 'Compounding', Compounding, 'Basis', Basis) %% % Define a |StockSpec|. AssetPrice = 50; Volatility = 0.30; StockSpec = stockspec(Volatility, AssetPrice) %% % Calculate the price of an European barrier down out call option using the % Black-Scholes option pricing model. Strike = 50; OptSpec = 'call'; Barrier = 45; BarrierSpec = 'DO'; Price = barrierbybls(RateSpec, StockSpec, OptSpec, Strike, Settle,... Maturity, BarrierSpec, Barrier)