文件名称:Option-Sensitivity-Measures
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- matlab例程
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- [Text]
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- 2012-11-26
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- 1kb
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- zhangzh*******
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此程序是关于经济学中布莱克斯科尔斯模型
的matlab实现-This procedure creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option. Recall that gamma is the second derivative of the option price relative to the underlying security price. The plot shows a three-dimensional surface whose z-value is the gamma of an option as price (x-axis) and time (y-axis) vary. It adds yet a fourth dimension by showing option delta (the first derivative of option price to security price) as the color of the surface
的matlab实现-This procedure creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option. Recall that gamma is the second derivative of the option price relative to the underlying security price. The plot shows a three-dimensional surface whose z-value is the gamma of an option as price (x-axis) and time (y-axis) vary. It adds yet a fourth dimension by showing option delta (the first derivative of option price to security price) as the color of the surface
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Option Sensitivity Measures.txt