The user inputs:
2 scalars:
- an annualized risk-free rate
- the current price of an underlying asset
3 vectors:
- a vector of time to maturity
- a vector of strike prices
- a vector European call prices gotten from the market for the same underlying asset.
The function VolSurface.m will then:
- compute and output the Black-Scholes implied volatility (this will be a matrix).
- get and plot the corresponding volatility surface using a kernel (Gaussian) density estimation.
引用格式
Rodolphe Sitter (2026). Volatility Surface (https://ww2.mathworks.cn/matlabcentral/fileexchange/23316-volatility-surface), MATLAB Central File Exchange. 检索时间: .
