期权计算器

#期权定价

参数

• AssetPrice: 股票价格
• StrikePrice: 行权价格
• IntRate: 无风险利率
• Expiration: 按照无风险利率计算的过期期数，比如90天过期，无风险利率为4%每年，则到期期数为：90/360=0.25
• ImpliedVol: 隐含波动率或者标准差

以下公式为Excel公式，直接替换相关变量即可（如果公共变量用绝对引用，其他变量用相对引用）

PriceCall=NORMSDIST((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration)))*AssetPrice-NORMSDIST((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration))-ImpliedVol*SQRT(Expiration))*StrikePrice*EXP(-1*IntRate*Expiration)

PricePut=StrikePrice*EXP(-1*IntRate*Expiration)-AssetPrice+NORMSDIST((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration)))*AssetPrice-NORMSDIST((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration))-ImpliedVol*SQRT(Expiration))*StrikePrice*EXP(-1*IntRate*Expiration)

DeltaC=NORMSDIST((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration)))

DeltaP=NORMSDIST((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration)))-1

Gamma=NORMDIST(((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration))),0,1,FALSE)/(AssetPrice*ImpliedVol*SQRT(Expiration))

Vega=AssetPrice*NORMDIST(((LN(AssetPrice/StrikePrice)+(IntRate+ImpliedVol*ImpliedVol/2)*Expiration)/(ImpliedVol*SQRT(Expiration))),0,1,FALSE)*SQRT(Expiration)