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  book-img-for-question

Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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