※ 引述《astro54088 (戲達)》之銘言：
日曆
====================================
function payoff = calendar( St,k,r,t,sigma,c )
%calendar spread
LC=max(blsprice(St,k,r,t,sigma),0)-c;%long a call 遠期
SC=-max(St-k,0)+c;%short a call 近期
payoff=LC+SC;
end
=================================
k=40;%strike
r=0.05;%rate
t=300;
c=4;
St=20:0.1:60;
sigma=0.4;
plot(St,-max(St-k,0)+c,'--black');
hold on;
plot(St,max(blsprice(St,k,r,t,sigma),0)-c,'--blue');
plot(St,calendar( St,k,r,t,sigma,c) ,'r');
=================================
因為Black-scholes的公式 可以發現算出來的值恆正
所以寫max(blsprice(St,k,r,t,sigma),0)和blsprice(St,k,r,t,sigma)同義
That's all
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 218.167.98.152