3D plot for pricing options over increasing time and asset price

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Katie Brewer
Katie Brewer 2019-2-12
评论： Rena Berman 2019-4-2
I have a function that works out the black scholes formula over changing time and price of the underlying.
I need C to store and save the answer for each iteration, in vector form, in order to plot a 3D to show the price of the call option changing over time and increasing underlying price.
S0=100;
X=120;
r=0.1;
sigma=0.2;
N=50;
x1=linspace(0,0.5,N); %time in years
x2=[0:1:N]'; %price of the underlying
C=zeros(1,N);
for x2=0:N
for x1=0:N
d1=(log(x2/X)+(r+0.5*sigma.^2)*x1)/(sigma*sqrt(x1));
d2=d1-sigma.*sqrt(x1);
C=S0*normcdf(d1)-X*exp(-r*x1)*normcdf(d2)
end
end
  2 个评论
Jan
Jan 2019-3-21
编辑：Jan 2019-3-21
Katie Brewer has removed the contents of all of her questions. It seems, like she is not interested in a cooperative usage of the forum. What a pity.

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回答（1 个）

Patel Mounika
Patel Mounika 2019-2-19
You can use array indexing to store the values of C in each iteration.
i=1;
for x2=0:N
for x1=0:N
d1=(log(x2/X)+(r+0.5*sigma.^2)*x1)/(sigma*sqrt(x1));
d2=d1-sigma.*sqrt(x1);
C(i)=S0*normcdf(d1)-X*exp(-r*x1)*normcdf(d2)
i=i+1;
end
end
This might help you.
  2 个评论
Katie Brewer
Katie Brewer 2019-2-19
Thanks,
This works!
Sorry, I'm new to matlab, I want to plot this in a 3D plot with x2 on the X axis, x1 on the Y axis and the option prices on the Z axis, do you know how I would do that?
Thanks

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