实验四隐含波动率计算表格文件下载.xls

实验四隐含波动率计算表格文件下载.xls

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期权到期时间T/执行价格X0.220.62060.020.605inD8:

股价波动率s的任意值0.3200.050.6257inD9:

0.060.6439inE9:

d1/d20.2850.15080.070.6661N（d1）/N（d2）0.61220.559930.080.6913inJ24:

Xe-rT/看涨期权价格fP20.3951.435590.090.7188inJ23:

0.10.7479inJ25:

看涨期权价格fP1100.150.908inI24:

对应的隐含波动率s0.176770.21.07980.251.2565inE12:

0.31.43560.351.6160.41.79720.451.97880.52.16060.552.34260.62.52450.150.9080.176810.21.0798=（LN（E3/E4）+（D3+E52/2）*D4）/（E5*SQRT（D4）=D7-E5*SQRT（D4）=NORMSDIST（-D7）=E4*EXP（-D3*D4）=D9*E8-E3*D8=E11=INDEX（J3:

J20,MATCH（$J$24,$J$3:

$J$20）=INDEX（J3:

$J$20）+1）=I23+（I25-I23）*（J24-J23）/（J25-J23）=I24（0.7443inD7:

无风险利率r/当前股价S010%210.0010inE7:

期权到期时间T/执行价格X0.220.62060.022E-07inD8:

股价波动率s的任意值0.3200.050.0074inD9:

0.060.0176inE9:

d1/d20.35950.225330.070.0324N（-d1）/N（-d2）0.35960.410860.080.0509inJ24:

Xe-rT/看跌期权价格fP20.1920.744280.090.0724inJ23:

0.10.0964inJ25:

看跌期权价格fP1100.150.2387inI24:

对应的股价波动率s0.372210.20.40020.250.5701inE12:

0.30.74430.350.92090.41.0990.451.2780.51.45750.551.63740.61.81750.350.92090.372210.41.099ABCDEFGHIJKLM12345678910111213141516171819202122232425=（LN（E3/E4）+（D3+E52/2）*D4）/（E5*SQRT（D4）=D7-E5*SQRT（D4）=NORMSDIST（-D7）=E4*EXP（-D3*D4）=D9*E8-E3*D8=E11=INDEX（J3:

$J$20）+1）=I23+（I25-I23）*（J24-J23）/（J25-J23）=I24N12345678910111213141516171819202122232425