XFGIBT01 (MatLab R2007b)
XFGIBT01 Outputs implied binomial trees computed by DK and BC algorithm of stock prices, transition probabilities and Arrow-Debreu prices, respectively, with a parabolic implied volatility (see IBTimpliedvola). Require IBTblackscholes.m, IBTdk.m, IBTbc.m, IBTimpliedvola.m, IBTresort.m, IBTcrr.m
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Fri, July 27 2012 by Dedy Dwi Prastyo
IBTblackscholes, IBTdk, IBTbc, IBTimpliedvola, IBTresort, IBTcrr
- Price of underlying asset, Interest rate, Time to expiration, Number of steps
Description: Run the program with following values for Price of underlying asset, Interest rate, Time to expiration and Number of steps, respectively: [100, 0.03, 3, 3]
format short disp('Please input Price of Underlying Asset s0, Riskless Interest Rate per Year r'); disp('Time to Expiration (Years) t, Number of steps n'); disp('as: [100, 0.03, 5, 5]'); disp(' ') ; para=input('[s0, r, t, n]='); while length(para) < 4 disp('Not enough input arguments. Please input in 1*4 vector form like [100, 0.03, 5, 5]'); disp(' ') ; para=input('[s0, r, t, n]='); end s0=para(1); % Stock price r=para(2); % Riskless interest rate t=para(3); % Time to expiration n=para(4); % Number of intervals format short [St, AD, P, LV] = IBTdk(s0,r,t,n,[]); % DK algorithm with parabolic implied volatility [St2, AD2, P2, LV2] = IBTbc(s0,r,t,n,[]); % BC algorithm with parabolic implied volatility Stree = IBTresort(St); ADtree = IBTresort(AD); Ptree = IBTresort(P); Stree2 = IBTresort(St2); ADtree2 = IBTresort(AD2); Ptree2 = IBTresort(P2); 'implied stock tree D&K' disp(Stree); 'implied stock tree B&C' disp(Stree2); 'transition probability tree D&K' disp(Ptree); 'transition probability tree B&C' disp(Ptree2); 'arrow debreu price tree D&K' disp(ADtree); 'arrow debreu price tree B&C' disp(ADtree2);