Change Volatility in the blsprice function
Show older comments
I want to change the Volatility in the blsprice function. I wrote the code below, but I do not get to see the time series of the Call for the different Volatility values. Anyone that can help?
Rate=0.0201; Floor=0.03; Volatility= 0.2; T=[0:15]; df=exp(-Rate*T); FwdRate=(df(2:end-1)./df(3:end)-1);
Voly = 0.01:0.01:0.05 ;
for j=1:length(Voly) [Call] = blsprice(FwdRate, Floor, 0, T(2:end-1), Volatility+Voly(j)); end if true % code end
Answers (0)
Categories
Find more on Downloads in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!