期权：Black-Scholes put and call option pricing

一些术语。

问：delivery price和strike price是不是一回事？只不过一个是forward一个是option？

答：不是一回事。一个是交割价格，一个是行权价格。交割 价格用于期货产品的到期交割，执行价用于期权产品的执行。

strike price 成交价

dividend

n.	红利，股息，利息，（破产时清算的）分配金; [数] 被除数 opp. divisor; （足球彩票的） 彩金;

Dividend Yield Ratio

股息率（Dividend Yield Ratio），是一年的总派息额与当时市价的比例。以占股票最后销售价格的百分数表示的年度股息，该指标是投资收益率的简化形式。股息率是股息与股票价格之间的比率。在投资实践中，股息率是衡量企业是否具有投资价值的重要标尺之一。

（股息 / 股价）

Matlab

[Call,Put] = blsprice(Price,Strike,Rate,Time,Volatility) computes European put and call option prices using a Black-Scholes model.

Compute European Put and Call Option Prices Using a Black-Scholes Model

This example shows how to price European stock options that expire in three months （3个月到期）

with an exercise price （执行价） of $95.

Assume that the underlying stock pays no dividend（标的股票不派息）, trades at $100, 

and has a volatility of 50% per annum（年）.

The risk-free rate is 10% per annum（年）.

[Call, Put] = blsprice(100, 95, 0.1, 0.25, 0.5) % 时间均以年作单位，波动率也要年化。

Call = 13.6953

Put = 6.3497

Compute European Put and Call Option Prices on a Stock Index Using a Black-Scholes Model

The S&P 100 index is at 910 and has a volatility of 25% per annum.

The risk-free rate of interest is 2% per annum and the index provides a dividend yield of 2.5% per annum. 

Calculate the value of a three-month European call and put with a strike price of 980.

 [Call,Put] = blsprice(910,980,.02,.25,.25,.025)

Call = 19.6863

Put = 90.4683