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Option-Sensitivity-Measures

于 2012-04-24 发布 文件大小:1KB
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  此程序是关于经济学中布莱克斯科尔斯模型 的matlab实现(This procedure creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option. Recall that gamma is the second derivative of the option price relative to the underlying security price. The plot shows a three-dimensional surface whose z-value is the gamma of an option as price (x-axis) and time (y-axis) vary. It adds yet a fourth dimension by showing option delta (the first derivative of option price to security price) as the color of the surface)

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