Change Volatility in the blsprice function
Afficher commentaires plus anciens
I want to change the Volatility in the blsprice function. I wrote the code below, but I do not get to see the time series of the Call for the different Volatility values. Anyone that can help?
Rate=0.0201; Floor=0.03; Volatility= 0.2; T=[0:15]; df=exp(-Rate*T); FwdRate=(df(2:end-1)./df(3:end)-1);
Voly = 0.01:0.01:0.05 ;
for j=1:length(Voly) [Call] = blsprice(FwdRate, Floor, 0, T(2:end-1), Volatility+Voly(j)); end if true % code end
Réponses (0)
Catégories
En savoir plus sur Downloads dans Centre d'aide et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!