期权定价中波动率的MATLAB求解方法  

MATLAB Solution Method of Volatility in Option Pricing

作　　者：任芳玲[1] 丁继飞 REN Fang-ling;Ding Ji-fei(College of Mathematics and Computer Science,Yan＇an University,Yan＇an,716000,China)

机构地区：[1]延安大学数学与计算机科学学院,陕西延安716000

出　　处：《延安大学学报（自然科学版）》2018年第3期32-36,共5页Journal of Yan'an University：Natural Science Edition

基　　金：陕西省教育厅专项科研计划项目(17JK0874);延安市科研发展计划项目(2017WZZ-03-02);延安大学大学生创新创业训练计划项目(D2016101)

摘　　要：期权具有管理波动率风险的使命,故而波动率分析是期权投资者的重要维度,对于股指期权定价中波动率的研究,传统的方法计算量大,且不易求出,本文针对历史波动率、已实现波动率和隐含波动率,利用MATLAB语言,得出了更为精准的波动率估计方法,为期权定价问题提供了重要的依据参数。Options has the mission of volatility risk management, so volatility analysis is an important dimension of options investors. For the study of volatility in stock index option pricing, the traditional method has large amount of calculation, and it is not easy to find out. For historical volatility, realized volatility and implied volatility, using MATLAB language, more accurate estimation method of volatility were obtained, which provide an important basis parameters for option pricing problem .

关 键 词：股指期权 历史波动率 已实现波动率 隐含波动率 MATLAB语言 

分 类 号：F830.9[经济管理—金融学]