金融经济学期权定价的应用.docx

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1、金融经济学实验报告2021年6月24日实验4期权定价的应用一、实验目的1、掌握用Matlab金融工具箱中的函数，计算期权价格的方法.2、掌握用Matlab金融工具箱中的函数，从期权价格计算期标的资产隐含波动率的方法.3、掌握用Matlab金融工具箱中的函数，对期权价格敏感性分析的方法。二、实验内容及要求本实验为验证性实验，实验内容为：【例6.H】Price=52, Strike=50,Rate=O. 1, Time=5/12, Increment=l/12, Volatility=0.4, Flag=0,DividendRate=O, Dividend=0, ExDiv=0AssetPrice

2、,OptionValue=binprice(Price,Strike,Rate,Time Jncrement, Volatility,Flag,DividcndRateQividend,ExDiv)运行结果：Price = 52Strike=50Rate = 0.1000Time = 0.4167Increment = 0.0833Volatility = 0.400()Flag = 0DividendRate = 0Dividend = 0ExDiv = 0AssetPrice = 6x652.000058.364865.508873.527182.526992.62820 46.32935

3、2.000058.364865.508873.527100 41.276946.329352.000058.364800036.775641.276946.3293000032.765136.77560000029.1920OptionValue =:6x63.72841.66370.428100005.91772.96410.876300009.05965.16441.7935000013.22448.72313.6707000017.234913.22440000020.8080【例6.12】Price=52, Strike=5(), Rate=().l, Time=5/12, Incre

4、ment=l/12, Volatility=0.4, Flag=(),DividendRate=O, Dividend=2.06, ExDiv=(3.5/12)/ IncrementAssetPrice,OptionValue=binprice(Price,Strike,Rate,Time,Increment, Volatility,Flag,DividendRate,Dividend,ExDiv)运行结果：Price = 52Strike=50Rate = 0.1000Time = 0.4167Increment = ().0833Volatility = 0.400()Flag = 0Di

5、videndRate = 0Dividend = 2.0600ExDiv = 3.5(X)()AssetPrice =52.000058.136765.022672.749479.351589.0642046.564252.033658.170662.988270.69800041.723146.598149.999256.119200037.412039.688744.5467000031.504435.36060000028.0688OptionValue =6x64.44042.16270.636100006.86113.77151.3018000010.15916.37852.6645

6、000014.224510.31135.4533000018.495614.63940000021.9312【例6.12】Price=52, Strike=5(), Rate=(). 1, Time=5/12, Incremental/12, Volatility=0.4, Flag=(),DividendRate=O, Dividend=2.06, ExDiv=(3.5/12)/ IncrementAssetPrice,OptionValue=binprice(Price,Str 汰 e,Rate,Time Jncrement, Volatility,Flag,DividendRateQiv

7、idend,ExDiv)运行结果：Price = 52Strike=50Rate = 0.1000Time = 0.4167Increment = 0.0833Volatility = ().4000Flag = 0DividendRate = 0Dividend = 2.0600ExDiv = 3.5000AssetPrice = 6x652.000058.136765.022672.749479.351589.06420 46.564252.033658.170662.988270.6980Price=l()(), Strike=95, Rate=0.075, Time=3/12, Val

8、ue=l(), Limit=0.5, Tolerance=(),Class=CairVolatility=blsimpv(Price5Strike,Rate,Time,Value,Limit,Tolerance J,Class)运行结果：Price = 100Strike = 95Rate = 0.0750Time = 0.2500Value = 10Limit = 0.5000Tolerance = 0Class = 1x1 cell 数组Call1Volatility = 0.3130【例6.16】Price=62.5, Strike=65, Rate=0.08, Time=8/12, V

9、olatility=0.25, Yield=0, dividend=l .5,ExDividendDate=6/l 2D= dividend*exp(-ExDividendDate*0.08)sigma= Volatility* Price/( Price -D)Call,Put=blsprice(Price -D, Strike , Rate , Time ,sigma, Yield)运行结果：Price = 62.5000Strike = 65Rate = 0.080()Time = 0.6667Volatility = 0.2500Yield = 0dividend = 1.5000Ex

10、DividendDate = 0.5000D= 1.4412sigma = 0.2559Call = 4.8262Put = 5.3915【例6.17】Price=20, Strike=20, Rate=0.05, Time=6/12, Volatility=0.04,Yield=0Call,PutJ=blsprice(Price,Strike,Rate,Time,Volatility, Yield)运行结果：Price = 20Strike = 20Rate = 0.0500Time = 0.5000Volatility = 0.0400Yield = 0Call = 0.5516Put = 0.0578