Scribd Logo
Upload

Welcome to Scribd!

  • HW 2

    Uploaded by

    api-516646274
    33 views2 pages
    The document contains code for plotting the profit diagrams of various option positions including long calls, short calls, long puts, and short puts. It also contains code for plotting the profit of a long put position alongside the theoretical value calculated using the Black-Scholes formula. The code generates subplots to show the profit diagrams on the same graph and includes labels and axis specifications.

    Original Description:

    Original Title

    hw2

    Copyright

    © © All Rights Reserved

    Available Formats

    DOCX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document contains code for plotting the profit diagrams of various option positions including long calls, short calls, long puts, and short puts. It also contains code for plotting the profit of a long put position alongside the theoretical value calculated using the Black-Scholes formula. The code generates subplots to show the profit diagrams on the same graph and includes labels and axis specifications.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    33 views2 pages

    HW 2

    Uploaded by

    api-516646274
    The document contains code for plotting the profit diagrams of various option positions including long calls, short calls, long puts, and short puts. It also contains code for plotting the profit of a long put position alongside the theoretical value calculated using the Black-Scholes formula. The code generates subplots to show the profit diagrams on the same graph and includes labels and axis specifications.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

     Plot option

    % Plotoptions.m

    % Long call, succeed

    X=50;

    c=2;

    St=40:0.05:60;

    subplot(2,2,1);

    plot (St,max(St-X,0)-c);

    title('long call');

    xlabel('S');

    ylabel('profit');

    axis([40 60 -10 10 ])

    % Short call, succeed

    subplot(2,2,2);

    plot (St,c-max(St-X,0));

    title('short call');

    xlabel('S');

    ylabel('profit');

    axis([40 60 -10 10 ])

    % Long put, succeed

    subplot(2,2,3);

    plot (St,max(X-St,0)-c);

    title('long put');

    xlabel('S');

    ylabel('profit');

    axis([40 60 -10 10 ])

    % Short put

    subplot(2,2,4);

    plot (St,c-max(X-St,0));

    title('short put');

    xlabel('S');

    ylabel('profit');

    axis([40 60 -10 10 ])
     Long put + BS

    % PlotlongputBS.m

    X=50;

    c=2;

    r=0.01;

    T=0.5;

    sigma=0.2;

    St=40:0.05:60;

    [m,n]=size(St);

    for i=1:n

    [call(i),put(i)]=bs(St(i),X,r,T,sigma);

    end

    plot (St,max(X-St,0), '--black');

    hold on;

    plot (St,put,'.blue');

    title('long put');

    xlabel('S');

    ylabel('profit');

    axis([40 60 0 10 ])

    function [C,P] = bs(S0,X,r,T,sigma);

    d1=(log(S0/X)+(r+sigma^2/2)*T)/(sigma*sqrt(T));

    d2=d1-(sigma*sqrt(T));

    C=S0*normcdf(d1)-X*(exp(-r*T) * normcdf(d2));

    P=X*exp(-r*T)*normcdf(-d2)-S0*normcdf(-d1);

    end

    You might also like