金融经济学实验报告 实验四 期权定价的应用

《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，从期权价格汁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6.1。

Price=52,Strikc=5O,Ratc=O.1,Timc=5/12,Incrcmcnt=l/12,Volatility=0.4,Flag=O,

DividendRa(e=O.Dividend=O,ExDiv=O

[AssetPrice,OptionValue]=binprice(Price,Strike,Rate,Time,Increment,Volatility,Flag,DividendRat

e,Dividend,ExDiv)

运行结果：

Price=52

Strike=50

Rate=0.1000

Time=0.4167

Increment=0.0833

Volatility=0.4000

Flag=0

DividendRate=0

Dividend=0

ExDiv=0

AsselPrice=

52.000058.364865.508873.527182.526992.6282

046.329352.000058.364865.508873.5271

0041.276946.329352.000058.3648

00036.775641.276946.3293

000032.765136.7756

0000029.1920

OptionValue=6x6

3.72841.66370.4281000

05.91772.96410.876300

009.05965.16441.79350

00013.22448.72313.6707

000017.234913.2244

0000020.8080

【例6.12]

Price=52,Strike=50,Rate=0.1.Time=5/12,Increment=l/12,Volatility=0.4,Flag=O,

DividcndRate=O,Dividcnd=2.06,ExDiv=(3.5/12)/Increment

[AssetPrice,OptionValue]=binpnce(Price,Strike.Rate,Time,Increment,Volatility,Flag.DividendRat

e,Dividend,ExDiv)

运行结果：

Price=52

Strike=50

Rate=0.1000

Time=0.4167

Increment=0.0833

Volatility=0.4000

Flag=0

DividendRate=0

Dividend=2.0600

ExDiv=3.5000

AssetPrice=6

52.000058.136765.022672.749479.351589.0642

046.564252.033658.170662.988270.6980

0041.723146.598149.999256.1192

00037.412039.688744.5467

000031.504435.3606

0000028.0688

OptionValue=6x6

4.44042.16270.6361000

06.86113.77151.301800

0010.15916.37852.66450

00014.224510.31135.4533

000018.495614.6394

0000021.9312

【例6.121

Price=52,Strike=50,Rate=O.I,Time=5/12,Increment=l/I2.Volatility=0.4,Flag=O,

DividendRate=O,Dividend=2.06,ExDiv=(3.5/12)/Increment

lAssetPricc,OptionValuc]=binprice(Price,Strike,Rate,Time,Incrcmcnt,Volatility,Flag,DividcndRat

e,Dividend,ExDiv)

运行结果：

Price=52

Strike=50

Rate=0.1000

Time=0.4167

Increment=0.0833

Volatility=0.4000

Flag=0

DividcndRatc=0

Dividend=2.0600

ExDiv=3.5000

AsselPrice=m

52.000058.136765.022672.749479.351589.0642

046.564252.033658.170662.988270.6980

0041.723146.598149.999256.1192

00037.412039.688744.5467

000031.504435.3606

0000028.0688

OptionValue=6x6

4.44042.16270.6361000

06.86113.77151.301800

0010.15916.37852.66450

00014.224510.31135.4533

000018.495614.6394

0000021.9312

【例6.13】

Pricc=l10,Strikc=105,Ratc=0.08,Timc=9/12,Volati1ity=0.25,Yicld=0

[Call,Put]=blsprice(Price,Strike,Rate,Time,Volatility,Yield)

运行结果：

Price=IIO

Strike=105

Rate=0.0800

Time=0.7500

Volatility=0.2500

Yield=0

Call=15.6237

Put=4.5089

【例6.15】

Price=100,Strike=95,Rate=0.075,Time=3/I2,Value=10,Limit=0.5,Tolerance=0,

Class={'CaH'}

Volatility=blsinipv(Price,Strike,Rate,Time,Valuc,Limit,Tolerance,U，Class)

运行结果：

Price=100

Strike=95

Rate=0.0750

Time=0.2500

Value=10

Limit=0.5000

Tolerance=0

Class=1x1cell数组

{'Call')

Volatility=0.3130

【例6.16】

Price=62.5,Strike=65,Rate=0.08,Time=8/12,Volatility=0.25,Yield=0,dividend=l.5,

ExDividendDate=6/12

D=dividcnd*exp(-ExDividendDate*0.08)

sigma=Volatility*Price/(Price-D)

[Call,Put]=blsprice(Piice-D.Strike,Rate,Time,sigma,Yield)

运行结果：

Price=62.5000

Strike=65

Rate=0.0800

Time=0.6667

Volatility=0.2500

Yield=0

dividend=1.500()

ExDividendDate=0.5000

D=1.4412

sigma=0.2559

Call=4.8262

Pul=5.3915