Price call and put options using Constant Elasticy of Variance model
An alternative to using Black and Scholes model is using Constant Elasticity of Variance model.
This is a diffusion model where the risk neutral process for a stock is
dS=(r-s)*S*dt - sigma*S^alpha*dZ
Input:
S- underlying price.
K- strike price
r- risk free rate
T- time to maturity
sigma- std of the underlying asset
q- yield to maturity of the underlying asset
alpha- Elasticity of variance
Outputs:
call- the price of call option
put- the price of put option
Example:
[call,put]=constantElasticity(50,50,0.04,1,0.3,0,1)
Reference:
[1] Options,Futures and other Derivatives, seventh edition by John Hull
Citation pour cette source
Hanan Kavitz (2024). Price call and put options using Constant Elasticy of Variance model (https://www.mathworks.com/matlabcentral/fileexchange/39689-price-call-and-put-options-using-constant-elasticy-of-variance-model), MATLAB Central File Exchange. Récupéré le .
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