已知期权价格求波动率Matlab,求助：利用牛顿法和二分法求解B-S期权定价模型里的隐含波动率...-CSDN博客

function volatility = blsimpv(S, X, r, T, value, varargin)

%BLSIMPV Black-Scholes implied volatility.

% Compute the implied volatility of an underlying asset from the market

% value of European call and put options using a Black-Scholes model.

% Volatility = blsimpv(Price, Strike, Rate, Time, Value)

% Volatility = blsimpv(Price, Strike, Rate, Time, Value, Limit, ...

% Yield, Tolerance, Class)

% Optional Inputs: Limit, Yield, Tolerance, Class.

% Inputs:

% Price - Current price of the underlying asset.

% Strike - Strike (i.e., exercise) price of the option.

% Rate - Annualized continuously compounded risk-free rate of return over

% the life of the option, expressed as a positive decimal number.

% Time - Time to expiration of the option, expressed in years.

% Value - Price (i.e., value) of a European option from which the implied

% volatility of the underlying asset is derived.

% Optional Inputs:

% Limit - Positive scalar representing the upper bound of the implied

% volatility search interval. If empty or missing, the default is 10,

% or 1000% per annum.

% Yield - Annualized continuously compounded yield of the underlying asset

% over the life of the option, expressed as a decimal number. For example,

% this could represent the dividend yield and foreign risk-free interest

% rate for options written on stock indices and currencies, respectively.

% If empty or missing, the default is zero.

% Tolerance - Positive scalar implied volatility termination tolerance.

% If empty or missing, the default is 1e-6.

% Class - Option class (i.e., whether a call or put) indicating the

% option type from which the implied volatility is derived. This may

% be either a logical indicator or a cell array of characters. To

% specify call options, set Class = true or Class = {'call'}; to specify

% put options, set Class = false or Class = {'put'}. If empty or missing,

% the default is a call option.

% Output:

% Volatility - Implied volatility of the underlying asset derived from

% European option prices, expressed as a decimal number. If no solution

% can be found, a NaN (i.e., Not-a-Number) is returned.

% Example:

% Consider a European call option trading at $10 with an exercise price

% of $95 and 3 months until expiration. Assume the underlying stock pays

% no dividends, is trading at $100, and the risk-free rate is 7.5% per

% annum. Furthermore, assume we are interested in implied volatilities

% no greater than 0.5 (i.e., 50% per annum). Under these conditions, any

% of the following commands

% Volatility = blsimpv(100, 95, 0.075, 0.25, 10, 0.5)

% Volatility = blsimpv(100, 95, 0.075, 0.25, 10, 0.5, 0, [], {'Call'})

% Volatility = blsimpv(100, 95, 0.075, 0.25, 10, 0.5, 0, [], true)

% return an implied volatility of 0.3130, or 31.30%, per annum.

% Notes:

% (1) The input arguments Price, Strike, Rate, Time, Value, Yield, and

% Class may be scalars, vectors, or matrices. If scalars, then that

% value is used to compute the implied volatility from all options. If

% more than one of these inputs is a vector or matrix, then the

% dimensions of all non-scalar inputs must be the same.

% (2) Ensure that Rate, Time, and Yield are expressed in consistent units

% of time.

% See also BLSPRICE, BLSDELTA, BLSGAMMA, BLSLAMBDA, BLSTHETA, BLSRHO.

% References:

% Hull, J.C., "Options, Futures, and Other Derivatives", Prentice Hall,

% 5th edition, 2003.

% Luenberger, D.G., "Investment Science", Oxford Press, 1998.

% Input argument checking & default assignment.

if nargin < 5

error(message('finance:blsimpv:TooFewInputs'))

end

if nargin > 9

error(message('finance:blsimpv:TooManyInputs'))

end

if any(value(:) < 0)

error(message('finance:blsimpv:NegativeValue'))

end

if (nargin < 6) || isempty(varargin{1})

limit = 10;

else

if varargin{1}(1) <= 0

error(message('finance:blsimpv:NonPositiveVolatility'))

end

limit = varargin{1}(1);

end

if (nargin < 7) || isempty(varargin{2})

q = zeros(size(S));

else

q = varargin{2};

end

blscheck(S, X, r, T, [], q);

if (nargin < 8) || isempty(varargin{3})

tol = 1e-6;

else

if varargin{3}(1) <= 0

error(message('finance:blsimpv:NonPositiveTolerance'))

end

tol = varargin{3}(1);

end

if (nargin < 9) || isempty(varargin{4})

optionClass = true(size(S)); % Denote TRUE = 1 ==> Call Options

else

% Allow some flexibility for the option class input specification (i.e.,

% whether the implied volatility is derived from the Black-Scholes

% pricing formula of call options or put options). For backward

% compatibility, the default still derives the implied volatility of

% the underlyer from the prices of CALL options.

% However, the following code allows users to indicate the option class

% by any of the following:

% (1) Logical values: 0 = Put, 1 = Call.

% (2) Cell arrays of character strings, in which a case-insensitive

% comparison is made of the first character of each element of the

% cell array with 'P' and 'C' for puts and calls, respectively.

% (3) Numeric values: 0 = Put, anything else = Call.

% The preferred methods are (1) and (2).

switch class(varargin{4})

case {'double' , 'logical' , 'single'}

optionClass = logical(varargin{4});

case 'cell'

optionClass = ~strncmpi(varargin{4}, 'P', 1);

otherwise

error(message('finance:blsimpv:InvalidOptionClass'))

end

% Perform scalar expansion & guarantee conforming arrays.

try

[S, X, r, T, value, q, optionClass] = finargsz('scalar', S, X, r, T, value, q, optionClass);

catch

error(message('finance:blsimpv:InconsistentDimensions'))

end

% Record array dimensions for output argument formatting.

[nRows, nCols] = size(S);

volatility = nan(nRows * nCols, 1);

% Convert to column vectors for intermediate processing.

[S, X, r, T, value, q, optionClass] = deal(S(:), X(:), r(:), ...

T(:), value(:), q(:), optionClass(:));

% Now estimate the implied volatility for each option.

options = optimset('fzero');

options = optimset(options, 'TolX', tol(1), 'Display', 'off');

for i = 1:length(volatility)

% Compute the implied volatility from option prices ONLY if the

% price of the underlying asset AND the option strike price AND

% the time to expiry of the option are greater than zero.

% Otherwise, return the implied volatility as a NaN, indicating

% that there is insufficient information to determine a unique

% solution. Note that these boundary conditions do NOT mean that

% the true volatility of the underlying asset is non-existent,

% only that we cannot determine a unique solution solely from

% option prices.

if (S(i) > 0) && (X(i) > 0) && (T(i) > 0)

try

[volatility(i), ~, exitFlag] = fzero(@objfcn, [0 limit], options, ...

S(i), X(i), r(i), T(i), value(i), q(i), optionClass(i));

if exitFlag < 0

volatility(i) = NaN;

end

catch

volatility(i) = NaN;

end

% Reshape the outputs for the user.

volatility = reshape(volatility, nRows, nCols);

% * * * * * * * Implied Volatility Objective Function * * * * * * *

function delta = objfcn(volatility, S, X, r, T, value, q, optionClass)

%OBJFCN Implied volatility objective function.

% The objective function is simply the difference between the specified

% market value, or price, of the option and the theoretical value derived

% from the Black-Scholes model.

[callValue, putValue] = blsprice(S, X, r, T, volatility, q);

if optionClass

delta = value - callValue;

else

delta = value - putValue;

end

MATLAB里面的函数blsimpv。。