基于Matlab图形用户界面的期权定价系统开发及应用

Development and Application of Option Pricing System Based on Matlab GUI

针对期权定价模型在金融衍生品定价过程中存在的问题,本文开发了基于Matlab GUI的期权定价系统,实现证券和利率衍生品价格及敏感性的计算。该系统以Black-Scholes、CRR模型、H-W模型等期权定价模型为基础,通过GUI空间的布局设计及回调函数的程序编写,选取欧式期权和亚式期权的数据,运用期权定价模型分别计算价格和敏感度,验证了将期权定价通过GUI实现的可行性,并以某笔期限为4年的贷款为例进行帽子期权的计算验证。验证结果表明,该系统界面友好,操作简单,准确实现了各类金融衍生品的定价。该研究使用户更加方便快捷的实现期权定价,提高了工作效率。

Aiming at the problems of option pricing model in the process of financial derivatives pricing, this paper develops an option pricing system based on Matlab GUI, which realizes the calculation of the price and sensitivity of securities and interest rate derivatives. The system is based on the option pricing model such as Black-Scholes, CRR model and HW model. Through the layout design of GUI space and the programming of callback function, the data of European option and Asian option are selected. Price and sensitivity are calculated by option pricing model, verifying the feasibility of pricing the option through the GUI, and using a loan with a term of 4 years as an example to verify the calculation of the hat option. The verification results show that the system has a friendly interface and simple operation, and accurately realizes the pricing of various financial derivatives. This research makes it easier and faster for users to implement option pricing and improve work efficiency.