Volatility Surface

Plots the Volatility Surface from the Implied Volatility obtained from puts and calls.
ダウンロード: 150
更新 2020/8/29

ライセンスの表示

The function first computes Implied Volatility for an option chain using the starting value proposed in Manaster & Koehler's (1982), which guarantees convergence for the Newton-Raphson algorithm. The function also supports MATLAB's in-built BLSIMPV function for IV.
Then, the Volatility Surface is plotted and smoothed using Natural-Neighbor interpolation. The interpolation method can also be changed for others supported by the GRIDDATA function.

引用

Franco Marcelo Taipe Silvestre (2024). Volatility Surface (https://www.mathworks.com/matlabcentral/fileexchange/79658-volatility-surface), MATLAB Central File Exchange. 取得済み .

MATLAB リリースの互換性
作成: R2019a
すべてのリリースと互換性あり
プラットフォームの互換性
Windows macOS Linux

Community Treasure Hunt

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

Start Hunting!

Volatility Surface

バージョン 公開済み リリース ノート
1.0.0