Matlab计算隐含波动率不能显示数值

blsimpv(825.88,200,0.0089,0.0833,623.25,1,0.0324,[],{'Call'}) ans =    NaN 这个设置了悬赏，，，拜托大家，真的很需要做出结果

你的option price=623.25低于option的intrinsic value825.88-200=625.88. 对于European call来说，你的dividend yield不足以把time value弄成负的，因此你的implied volatility怎么calibrate 都弄不出来。你要么提高option的price到intrinsic value以上，要么提高dividend yield把time value弄负，这下volatility都可以算出来，我刚刚都试过。另外你可以把limit设的高一点，1有时候太低，因为你是imply volatility，所以有时候会imply出很bizarre的number。

怎么是绿色的背景？？？？？

参数解释一下

Chemist_MZ 发表于 2015-3-26 07:36
你的option price=623.25低于option的intrinsic value825.88-200=625.88. 对于European call来说，你的divi ...

我要是吧dividend和time to maturity 都换成百分数乘以100带进去对不对呢。因为这些数值都是老师给的。我也不能改动。这样算出来IV有5多 这怎么解释啊

Chemist_MZ 发表于 2015-3-26 07:36
你的option price=623.25低于option的intrinsic value825.88-200=625.88. 对于European call来说，你的divi ...

除了Matlab有别的方法算IV吗 求介绍

yinmuyu 发表于 2015-3-27 20:18
除了Matlab有别的方法算IV吗 求介绍

Why you can not change if your professor gives you some stupid numbers? He may download from some real trading data which violates BS model.

1) implied volatility can only come from BS model. Volatility implied from other models can not be called IV
2) Any tools as long as it uses BS model, will give you the same result. The result is tool free.
3) if you want to honor the data your professor gives, just tell him this is a bad data point, you can't take that.

Your equity price is 4 times than the strike, 400% moneyness option will never be used to calculate IV and construct vol surface. At least we are not doing that at Bloomberg. It is too deep in the money that almost nobody trades.

best regards,

Chemist_MZ 发表于 2015-3-28 05:48
Why you can not change if your professor gives you some stupid numbers? He may download from some  ...

好的 感谢

Chemist_MZ 发表于 2015-3-28 05:48
Why you can not change if your professor gives you some stupid numbers? He may download from some  ...

为什么大家不愿意交易deep in the money call?

yinmuyu 发表于 2015-3-28 17:34
为什么大家不愿意交易deep in the money call?

因为volatility对它几乎没有影响，并且没有convexity，因此失去了hedge Vega和Gamma risk的作用，外加非常贵，几乎等于直接买股票。