急问如何用MATLAB计算带JUMP的期权价格？

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

急问！！谢谢呀 金融工具箱里有直接的函数么？

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：MATLAB matla atlab Jump Mat MATLAB 价格 期权 Jump

小汗一下.

matlab稍微复杂一点的计算都要自己写，更不要说是带跳的定价

金融工具箱里只有一些常用通俗的函数

o  哦 我看有Bs公式，以为带跳的定价也有呢

带跳的模型本来就很复杂，什么的跳，怎么跳，matlab这个也能算，Quant都失业算了

就是，哪有那么简单的事情？这玩意要自己写程序的。不过可以给个你参考

function [] = MertonJumpEuro(CallPut, AssetP, Strike, RiskFree, Time, Vol, Jumps, Gamma, MaxIter)
% Requires BlackScholesEuro.m
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Computes the Merton (1976) Jump diffusion model for European Call/Put Option Values based
% on the following inputs:
% CallPut           =       Call = 1, Put = 0
% AssetP            =       Underlying Asset Price
% Strike            =       Strike Price of Option
% RiskFree          =       Risk Free rate of interest
% Time              =       Time to Maturity
% Vol               =       Volatility of the Underlying
% Jumps             =       Number of Jumps per Year
% Gamma             =       Percent of total volatility explained by jumps
% MaxIter           =       Max number of iterations to be used
% Please note that the use of this code is not restricted in anyway.
% However, referencing the author of the code would be appreciated.
% To run this program, simply use the function defined in the 1st line.
% http://www.global-derivatives.com
% info@global-derivatives.com
% Kevin Cheng (Nov 2003)
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

Delta = sqrt((Gamma * (Vol ^ 2)) / Jumps);
A = sqrt(Vol ^ 2 - Jumps * Delta ^ 2);
Value = 0;

for i = 0:MaxIter
    VV = sqrt(A ^ 2 + Delta ^ 2 * (i / Time));
    Value = Value + (exp(-Jumps * Time) * (Jumps * Time) ^ i / factorial(i)) * BlackScholesEuro(CallPut, AssetP, Strike, RiskFree, Time, VV);
end

MertonJumpEuro = Value

谢谢！~~~