Matlab code for black-scholes

조회 수: 3 (최근 30일)
ghalya alkindi
ghalya alkindi 2020년 9월 16일
답변: Rohit Pappu 2020년 10월 30일
I wrote this code but I think it's incorrect. If any one have an idea
S = 1.6; % spot exchange rate
X = 1.6; % strike
T = .3333;
r_d = .08; % USD interest rate
r_f = .11; % GBP interest rate
sigma = .2;
Price = blsprice(S,X,r_d,T,sigma,r_f)

답변 (1개)

Rohit Pappu
Rohit Pappu 2020년 10월 30일
For computing price of European Call Option using Binomial model, the appropriate technique would be to use Cox-Ross-Rubinstein model .
Pricing European Call Options Using Different Equity Models compares the various models extensively and can help in choosing the appropriate model for the above question.

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