create a option priing model in matlab

To create an option pricing model in MATLAB, you can use the financial instruments toolbox provided by MATLAB.

First, make sure you have the Financial Instruments Toolbox installed. You can check this by running the command ver in the MATLAB command window and looking for the presence of the Financial Instruments Toolbox in the list of installed toolboxes.

Here is an example of how to create a Black-Scholes option pricing model in MATLAB:

main.m
% Define the parameters
S = 100;  % underlying asset price
K = 100;  % strike price
r = 0.05; % risk-free interest rate
T = 1;    % time to expiry (in years)
sigma = 0.2; % volatility of underlying asset

% Compute the option price using the Black-Scholes formula
d1 = (log(S/K) + (r + 0.5*sigma^2)*T) / (sigma * sqrt(T));
d2 = d1 - sigma * sqrt(T);

CallOptionPrice = S * normcdf(d1) - K * exp(-r*T) * normcdf(d2);
PutOptionPrice = K * exp(-r*T) * normcdf(-d2) - S * normcdf(-d1);

% Display the option prices
fprintf('Call option price: %.2f\n', CallOptionPrice);
fprintf('Put option price: %.2f\n', PutOptionPrice);
619 chars
18 lines

This code computes the price of a European-style call and put option using the Black-Scholes formula. The formula assumes that the underlying asset follows a geometric Brownian motion.

Make sure to replace the values of S, K, r, T, and sigma with the appropriate values for your specific option.

You can also explore other option pricing models available in the Financial Instruments Toolbox, such as the Binomial or Heston models, by referring to the MATLAB documentation and examples provided with the toolbox.

Please note that this is just an example, and there are various other option pricing models and approaches available.