Correcting blsprice(...) when I have negative foreign rate

1 回表示 (過去 30 日間)

Marco De Pascale 2019 年 11 月 7 日

コメント済み: Marco De Pascale 2019 年 11 月 7 日

To whom it may concern,

I would know I should correct blsprice formula when I have blsprice(stock,strike,rate,time,volatility,negative foreign rate)

Best regars,

Marco.

KALYAN ACHARJYA 2019 年 11 月 7 日

[call, put]=blsprice(stock,strike,rate,time,volatility)

See more details here

Marco De Pascale 2019 年 11 月 7 日

Good evening,

i try to explain my problem in a better way.

I have an option with:

stock price = 1.33 (it's the current exchange rate)

strike price = 1.33

rate = -0.03

time = 1 (year)

foreign rate = 0.02

How can I use blsprice formula to pricing this currency option?

thank you very much.

Best Regards

Help Center および File Exchange で Price and Analyze Financial Instruments についてさらに検索

Find the treasures in MATLAB Central and discover how the community can help you!

Translated by