Volatility Surface

Versione 1.1.0.0 (179 KB) da Rodolphe Sitter
Compute and Plot Volatility Surfaces from Market Prices
4.0
(4)
6,4K download
Aggiornato 31 mar 2009

Visualizza la licenza

The user inputs:

2 scalars:
- an annualized risk-free rate
- the current price of an underlying asset

3 vectors:
- a vector of time to maturity
- a vector of strike prices
- a vector European call prices gotten from the market for the same underlying asset.

The function VolSurface.m will then:

- compute and output the Black-Scholes implied volatility (this will be a matrix).
- get and plot the corresponding volatility surface using a kernel (Gaussian) density estimation.

Cita come

Rodolphe Sitter (2024). Volatility Surface (https://www.mathworks.com/matlabcentral/fileexchange/23316-volatility-surface), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2007b
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Surface and Mesh Plots in Help Center e MATLAB Answers
Riconoscimenti

Ispirato da: Kernel Smoothing Regression

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Versione Pubblicato Note della release
1.1.0.0

-
1.0.0.0