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衍生品工具定价

分析股票期权估值和敏感度

股权衍生品是一种合约,其价值至少部分来源于一种或多种标的股权证券。Financial Instruments Toolbox™ 提供了额外的功能,用于为多种股权证券定价、计算敏感度和进行对冲分析。您可以使用定价模型(包括格型模型、蒙特卡罗模拟和多个闭式解)来对普通、亚式、回望、障碍和息差期权进行定价。有关详细信息,请参阅

函数

binpriceBinomial put and call American option pricing using Cox-Ross-Rubinstein model
blkimpvImplied volatility for futures options from Black model
blkpriceBlack model for pricing futures options
blsdeltaBlack-Scholes sensitivity to underlying price change
blsgammaBlack-Scholes sensitivity to underlying delta change
blsimpvBlack-Scholes implied volatility
blslambdaBlack-Scholes elasticity
blspriceBlack-Scholes 看跌和看涨期权定价
blsrhoBlack-Scholes sensitivity to interest-rate change
blsthetaBlack-Scholes sensitivity to time-until-maturity change
blsvegaBlack-Scholes sensitivity to underlying price volatility
opprofitOption profit

主题

Pricing and Analyzing Equity Derivatives

Compute prices, sensitivities, and profits for portfolios of equity options using the Black-Scholes model for European options and the binomial model for American options.

Greek-Neutral Portfolios of European Stock Options

This example creates an equity option portfolio using the Black-Scholes model for European options that is simultaneously delta, gamma, and vega neutral.

Plotting Sensitivities of an Option

This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.

Plotting Sensitivities of a Portfolio of Options

This example plots gamma as a function of price and time for a portfolio of ten Black-Scholes options.