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Sep 23

Option greeks analysis

Posted by abiao at 13:51 | Code » Matlab | Comments(1) | Reads(12627)
A useful tool built to help the user gain an intuitive feel for option pricing and the greeks.

Allows the user to create a portfolio of options (and thus straddles, strangles, butterflies and anything else you fancy can be easily created using the GUI).

Once this is done, the user can plot the option price, delta, gamma, vega and variance vega in 3D and examine how they vary with time to maturity, volatility, interest rates and carry.

It also allows you to perturb a 4th dimension also allowing you to create an animation.

Type PlotMeTheGreeks() on the matlab command line to start the GUI.


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