請問 ”matlab” 的 ”blkprice”
請問一下 "matlab" 的 "blkprice" 是什麼東西呢?
請問中文翻譯是什麼?? 以及 功能為何呢??
- Anonymous2 decades agoFavorite Answer
blkprice Black's option pricingSyntax[Call, Put] = blkprice(ForwardPrice, Strike, Rate, Time, Volatility)ArgumentsForwardPriceForward price of underlying asset at time zero. Must be greater than 0. You can extend Black's model to interest-rate derivatives (call and put options embedded in bonds) by calculating the forward price from the equationf = (B - I) * exp(r*t)where B is the face value of the bond, I is the present value of the coupons during the life of the option, r is the risk-free interest rate, and t is the time until maturity.StrikeStrike or exercise price of the options. Must be greater than 0.RateRisk-free interest rate (plus storage costs less any convenience yield). Must be greater than or equal to 0.TimeTime until maturity of option in years. Must be greater than 0.VolatilityVolatility of the price of the underlying asset. Must be greater than or equal to 0. Description[Call, Put] = blkprice(ForwardPrice, Strike, Rate, Time, Volatility) uses Black's model to value an option and returns the Call and Put option prices.ExamplesThe forward price of a bond is $95, the exercise price of the option is $98, the risk-free interest rate is 11%, the time to maturity of the option is 3 years, and the volatility of the bond price is 2.5%.[Call, Put] = blkprice(95, 98, 0.11, 3, 0.025)Call = 0.4162 (or $0.42)Put = 2.5729 (or $2.57)Source(s): http://www.sinica.edu.tw/