衍生证券

Option Valuation and Sensitivity(期权定价与敏感性分析)

1. Black-Scholes模型下,欧式期权定价(Black-Scholes put and call option pricing)

[call,put]:blsprice(price,strike,rate,time,volatility,yield)

2. Black-Scholes模型下,对冲比率(Delta):欧式期权价格对于标的资产价格变化的敏感性.(Black-Scholes sensitivity to underlying price change)

[call_delta,put_delta]:blsdelta(price,strike,rate,time,volatility <,yield>)

3. Black-Scholes模型下,Gamma:对冲比率(Delta)对于标的资产价格变化的敏感性.(Black-Scholes sensitivity to underlying delta change)

blsgamma(price,strike,rate,time,volatility <,yield>)

4. Black-Scholes模型下,Theta:欧式期权价格对于剩余期限变化的敏感性.(Black-Scholes sensitivity to time-until-maturity change)

[call_theta,put_theta]:blstheta(price,strike,rate,time,volatility <,yield>)

5. Black-Scholes模型下,Vega:欧式期权价格对于波动率变化的敏感性.(Black-Scholes sensitivity to underlying price volatility)

blsvega(price,strike,rate,time,volatility <,yield>)

6. Black-Scholes模型下,Rho:欧式期权价格对于利率变化的敏感性.(Black-Scholes sensitivity to interest rate change)

[call_rho,put_rho]:blsrho(price,strike,rate,time,volatility <,yield>)

7. Black-Scholes模型下,计算隐含波动率(Black-Scholes implied volatility)

blsimpv(price,strike,rate,time,value <,limit,yield,tolerance,class>)

8. Black模型下,欧式期货期权定价(Black's model for pricing futures options)

[call,put]:blkprice(price,strike,rate,time,volatility)

9. Black模型下,欧式期货期权的隐含波动率(Implied volatility for futures options from Black's model)

blkimpv(price,strike,rate,time,value <,limit,tolerance,class>)

10. 二叉树模型下,美式期权定价(Binomial put and call pricing)

[asset_price,option_value]:binprice(price,strike,rate,time,increment,volatility,flag
                      <,dividend_rate,dividend,ex_div>)

混沌 <youliang@chaoskey.com>

http://blog.chaoskey.com