matlab计算美式期权价格及最佳实施边界

收录时间:2017-10-10
资源分类:Matlab 工具:MATLAB 7.5 (R2007b)

在本演示中,美式期权的价格是

股票的价值与时间t的函数,即V = V(S,T)。金融

参数如strike、波动等(完整列表如下)

被假定为常数。演示程序计算A的期权价格。

离散的股票价值的范围(我)和一系列的离散时间

值t(j)。

 

American Option Prices and the Optimal Exercise Boundary

In this demo, the price V of an American option is considered as a

function of the stock value S and time t, i.e. V = V(S,t). The financial

parameters like strike, volatility, etc. (a complete list is given below)

are assumed to be constants. The demo computes the option price for a

range of discrete stock values S(i) and a range of discrete time

values t(j).

 

The demo also computes the optimal exercise boundary Sf as a function

of time, i.e. Sf = Sf(t). For each discrete time value t(j), the value

Sf(j) is the last (in case of a put) or the first (in case of a call)

contact point with the payoff. This point gives the user the information

whether it is optimal to exercise the option at each discrete point in

time.

 

The results are visualized in three figures. The first figure is a graph

of the American option price at the initial time. For comparison reasons,

this figure also shows a graph of the corresponding European option

and a graph of the payoff. The second figure displays a surface of the

option price as a function of the stock value and time. Finally, the

third graph displays the optimal exercise boundary.

 

The demo is executed by running the scritp AmericanOptionDemo.m. This scritp calls the functions AmericanOption.m and FreeBoundary.m

文件下载列表
附件内容(只显示4中的3个)
AmericanOption.m  AmericanOptionDemo.m  FreeBoundary.m  
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