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

Question

Katie Brewer 2019-2-12

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/444632-3d-plot-for-pricing-options-over-increasing-time-and-asset-price

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

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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.

Rena Berman 2019-4-2

(Answers Dev) Restored edit

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Answer 1

Patel Mounika 2019-2-19

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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/444632-3d-plot-for-pricing-options-over-increasing-time-and-asset-price#answer_361662

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

This might help you.

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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

Patel Mounika 2019-2-19