金融经济学期权定价的应用.docx
金融经济学实验报告2023年6月24日实验4期权定价的应用一、实验目的1、掌握用MaHab金融工具箱中的函数，计算期权价格的方法.2、掌握用Mat1ab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MaHab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6.11Price=52,Strike=50,Rate=O.1,Time=512,Increment=1/12,Vo1ati1ity=0.4,F1ag=O,DividendRate=O,Dividend=O,ExDiv=OAssetPrice,OptionVa1ue=binprice(Price,Strike,Rate,Time,Increment,Vo1ati1ity,F1ag,DividendRate,Dividend,ExDiv)运行结果：Price=52Strike=50Rate=OJOOOTime=0.4167Increment=0.0833Vo1ati1ity=0.4000F1ag=0DividendRate=0Dividend=0ExDiv=0AssetPrice=52.000058.364865.508873.527182.526992.6282046.329352.000058.364865.508873.52710041.276946.329352.000058.364800036.775641.276946.3293000032.765136.77560000029.1920OptionVa1ue=6×63.72841.66370.428100005.91772.96410.876300009.05965.16441.7935000013.22448.72313.6707000017.234913.22440000020.8080【例6.12Price=52,Strike=50,Rate=O.1,Time=512,Increment=1125VoIati1ity=OAF1ag=O,DividendRate=O,Dividend=2.06,ExDiv=(3.512)/IncrementAssetPrice,OptionVa1ue=binprice(Price,Strike,Rate,Time,IncrementVoIati1ity,F1ag,DividendRate,Dividend,ExDiv)运行结果：Price=52Strike=50Rate=OJOOOTime=0.4167Increment=0.0833Vo1ati1ity=0.4000F1ag=0DividendRate=0Dividend=2.0600ExDiv=3.5000AssetPrice=52.000058.136765.022672.749479.351589.0642046.564252.033658.170662.988270.69800041.723146.598149.999256.119200037.412039.688744.5467000031.504435.36060000028.0688OptionVa1ue=4.44042.16270.636100006.86113.77151.3018000010.15916.37852.6645000014.224510.31135.4533000018.495614.63940000021.9312Price=52,Strike=50,Rate=O.1,Time=512,Increment=1125Vo1ati1ity=0.4,FIag=O,DividendRate=O,Dividend=2.06,ExDiv=(3.512)/IncrementAssetPrice,OptionVa1ue=binprice(Price,Strike,Rate,TimeJncrement,Vo1ati1ity,F1ag,DividendRate,Dividend,ExDiv)运行结果：Price=52Strike=50Rate=OJOOOTime=0.4167Increment=0.0833Vo1ati1ity=0.4000F1ag=0DividendRate=0Dividend=2.0600ExDiv=3.5000AssetPrice=52.000058.136765.022672.749479.351589.0642046.564252.033658.170662.988270.69800041.723146.598149.999256.119200037.412039.688744.5467000031.504435.36060000028.0688OptionVa1ue=6×64.44042.16270.636100006.86113.77151.3018000010.15916.37852.6645000014.224510.31135.4533000018.495614.63940000021.9312【例6.13Price=I10,Strike=105,Rate=O.08,Time=912,Vo1ati1ity=0.25,Yie1d=OCa11,Put=b1sprice(Price,Strike,Rate,Time,Vo1ati1ity,Yie1d)运行结果：Price=110Strike=105Rate=0.0800Time=0.7500Vo1ati1ity=0.2500Yie1d=0Ca11=15.6237Put=4.5089Price=IOO,Strike=95,Rate=0.075,Time=3/12,VaIue=IO,1imit=0.5,To1erance=O,C1ass=,Ca1)Vo1ati1ity=b1simpv(Price,Strike,Rate,Time,Va1ue,1imit,To1erance,C1ass)运行结果：Price=100Strike=95Rate=0.0750Time=0.2500Va1ue=101imit=0.5000To1erance=0C1ass=1×1ce11数组'Ca11')Vo1ati1ity=0.3130【例6.16Price=62.5,Strike=65,Rate=0.08,Time=812,Vo1ati1ity=0.25,Yie1d=O,dividend=1.5,ExDividendDate=612D=dividend*exp(-ExDividendDate*0.08)sigma=Vo1ati1ity*Price(Price-D)CaI1,Put=b1sprice(Price-D,Strike,Rate,Time,sigma,Yie1d)运行结果：Price=62.5000Strike=65Rate=0.0800Time=0.6667Vo1ati1ity=0.2500Yie1d=0dividend=1.5000ExDividendDate=0.5000D=1.4412sigma=0.2559Ca11=4.8262Put=5.3915【例6.17】Price=20,Strike=20,Rate=0.05,Time=612,Vo1ati1ity=0.04,Yie1d=0Ca11,Put=b1sprice(Price,Strike,Rate,Time,Vo1ati1ity,Yie1d)运行结果：Price=20Strike=20Rate=0.0500Time=0.5000Vo1ati1ity=0.0400Yie1d=OCa11=0.5516Put=0.0578
