二分法求期权隐含波动率

#二分法求期权隐含波动率c:option fee s0:price r:risk free interest t:execution date k:execution price

delta1=function(c,s0,r,t,k)

{

err=10e-10

a=-1000

b=1000

f1=cp(c,a,s0,r,t,k)

f2=cp(c,b,s0,r,t,k)

m=(a+b)/2

f3=cp(c,m,s0,r,t,k)

if(f1*f3<0)

{

b=m

m=(a+b)/2

}else

{

a=m

m=(a+b)/2

}

err1=abs(a-m)

while(err1>err){

f1=cp(c,a,s0,r,t,k)

f2=cp(c,b,s0,r,t,k)

f3=cp(c,m,s0,r,t,k)

if(f1*f3<0)

{

b=m

m=(a+b)/2

}else

{

a=m

m=(a+b)/2

}

err1=abs(a-b)

}

return(m)

}

cp=function(c,b,s0,r,t,k){

d1=(log(s0/k)+(r+b^2/2)*t)/(b*sqrt(t))

d2=d1-b*sqrt(t)

f1=pnorm(d1,0,1)*s0-pnorm(d2,0,1)*k*exp(-r*t)-c return(f1)

}