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    Function: 計財系碩一 108071603 黃偉德 1. Latticeeurput.M

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    This document contains MATLAB code for pricing European put and call options using a lattice/binomial option pricing model. It compares the lattice prices to prices from the Black-Scholes model and finds the dividend yield that makes the American and European call prices equal. Specifically, it contains: 1) Code to price a European put using a lattice model 2) A plot comparing the lattice put price to the Black-Scholes price 3) Code for an American call using a lattice model 4) Code that finds the dividend yield making the American and European call prices equal

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    Function: 計財系碩一 108071603 黃偉德 1. Latticeeurput.M

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    71 views4 pages
    This document contains MATLAB code for pricing European put and call options using a lattice/binomial option pricing model. It compares the lattice prices to prices from the Black-Scholes model and finds the dividend yield that makes the American and European call prices equal. Specifically, it contains: 1) Code to price a European put using a lattice model 2) A plot comparing the lattice put price to the Black-Scholes price 3) Code for an American call using a lattice model 4) Code that finds the dividend yield making the American and European call prices equal

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    This document contains MATLAB code for pricing European put and call options using a lattice/binomial option pricing model. It compares the lattice prices to prices from the Black-Scholes model and finds the dividend yield that makes the American and European call prices equal. Specifically, it contains: 1) Code to price a European put using a lattice model 2) A plot comparing the lattice put price to the Black-Scholes price 3) Code for an American call using a lattice model 4) Code that finds the dividend yield making the American and European call prices equal

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    71 views4 pages

    Function: 計財系碩一 108071603 黃偉德 1. Latticeeurput.M

    Uploaded by

    api-516881339
    This document contains MATLAB code for pricing European put and call options using a lattice/binomial option pricing model. It compares the lattice prices to prices from the Black-Scholes model and finds the dividend yield that makes the American and European call prices equal. Specifically, it contains: 1) Code to price a European put using a lattice model 2) A plot comparing the lattice put price to the Black-Scholes price 3) Code for an American call using a lattice model 4) Code that finds the dividend yield making the American and European call prices equal

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    金融商品設計與評價

    HW6
    計財系碩一 108071603 黃偉德
    1. LatticeEurPut.m
    function [price, lattice] =
    LatticeEurPut(S0,X,r,T,sigma,N)
    deltaT = T/N;
    u=exp(sigma * sqrt(deltaT));
    d=1/u;
    p=(exp(r*deltaT) - d)/(u-d);
    lattice = zeros(N+1,N+1);
    for j=0:N
    lattice(N+1,j+1)=max(0 , X - S0*(u^j)*(d^(N-j)));
    end
    for i=N-1:-1:0
    for j=0:i
    lattice(i+1,j+1) = exp(-r*deltaT) * ...
    (p * lattice(i+2,j+2) + (1-p) *
    lattice(i+2,j+1));
    end
    end
    price = lattice(1,1);

    2. CompLatticeBLSPut.m
    % CompLatticeBLS.m
    S0 = 50;
    X = 50;
    r = 0.1;
    sigma = 0.4;
    T = 5/12;
    N=50;
    BlsP = blsprice_Put(S0,X,r,T,sigma);
    LatticeP = zeros(1,N);
    for i=(1:N)
    LatticeP(i) = LatticeEurPut(S0,X,r,T,sigma,i);
    end
    plot(1:N, ones(1,N)*BlsP);
    hold on;
    plot(1:N, LatticeP);

    3. LatticeAmCall vs.BLS
    function [price, lattice] =
    LatticeAmCall(S0,X,r,T,sigma,N)
    deltaT = T/N;
    u=exp(sigma * sqrt(deltaT));
    d=1/u;
    p=(exp(r*deltaT) - d)/(u-d);
    lattice = zeros(N+1,N+1);
    for j=0:N
    lattice(N+1,j+1)=max(0 , S0*(u^j)*(d^(N-j))-X);
    end
    for i=N-1:-1:0
    for j=0:i
    lattice(i+1,j+1) = max( S0*u^j*d^(i-j)-X , ...
    exp(-r*deltaT) *(p * lattice(i+2,j+2) + (1-
    p) * lattice(i+2,j+1)));
    end
    end
    price = lattice(1,1);

    4. LatticeAmCall vs. LatticeEurCall


    function [price, lattice] =
    LatticeAmCall(S0,X,r,T,sigma,N,q)
    deltaT = T/N;
    u=exp(sigma * sqrt(deltaT));
    d=1/u;
    p=(exp((r-q)*deltaT) - d)/(u-d);
    lattice = zeros(N+1,N+1);
    for j=0:N
    lattice(N+1,j+1)=max(0 , S0*(u^j)*(d^(N-j))-X);
    end
    for i=N-1:-1:0
    for j=0:i
    lattice(i+1,j+1) = max( S0*u^j*d^(i-j)-X , ...
    exp(-r*deltaT) *(p * lattice(i+2,j+2) + (1-
    p) * lattice(i+2,j+1)));
    end
    end
    price = lattice(1,1);

     用 LatticeEurCall(50,50,0.1,5/12,0.4,5)算出來的 call price=6.3595

     若要讓 LatticeAmCall(50,50,0.1,5/12,0.4,5,q)-6.3595=0
    q=3.6269e-06
    %LatticeAmCall v.s LatticeEurCall
    fzero(@(q) LatticeAmCall(50,50,0.1,5/12,0.4,5,q)-
    LatticeEurCall(50,50,0.1,5/12,0.4,5)+0.00001, 1)

     當 q>3.6269e-06，AmCall 會大於 EurCall，代表會提早履約。

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