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Highlights from
Desenvolvimento de Aplicacoes com MATLAB

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Desenvolvimento de Aplicacoes com MATLAB


Elia Matsumoto (view profile)


Slides and demo files from the webinar "Desenvolvimento de Aplicacoes com MATLAB"

blsbtyval(SpotPrice, StrikePrice, RiskFreeRate, ...
function ButterflyValue = blsbtyval(SpotPrice, StrikePrice, RiskFreeRate, ...
          TimeExpiry, Volatility, ButterflyRange)
%BLSBTYVAL Black Scholes value of a butterfly option

%Set the different strike prices
LowStrike = StrikePrice .* (1 - ButterflyRange);
HighStrike = StrikePrice .* (1 + ButterflyRange);

%Value the long positions in the low and high struck calls
LowValue = blsprice(SpotPrice, LowStrike, RiskFreeRate, ...
     TimeExpiry, Volatility);
HighValue = blsprice(SpotPrice, HighStrike, RiskFreeRate, ...
     TimeExpiry, Volatility);

%Value the short position in the calls struck at the initial strike
ShortValue = 2 .* -(blsprice(SpotPrice, StrikePrice, RiskFreeRate, ...
     TimeExpiry, Volatility));

%Calculate the total value of the butterfly
ButterflyValue = LowValue + HighValue + ShortValue;

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