4. (Stochastic volatility) Write a MATLAB program to observe the implied volatility smile for the option based
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4. (Stochastic volatility) Write a MATLAB program to observe the implied volatility smile for the option based on the stock price having stochastic volatility. Use the following data for the calculation.
Sð0Þ 5 100;K 5 100; T 5 0:5; r 5 8%; σ 5 30%; σσ 5 10%;rσ 5 10%
Plot the graph of the estimated implied volatility against the moneyness of the option.
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Related Book For
Principles Of Financial Engineering
ISBN: 9780123869685
3rd Edition
Authors: Robert Kosowski, Salih N. Neftci
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