[情報] 使用Excel計算隱含波動率
http://jerry2007.blogspot.com/2008/11/excel.html
操作選擇權以來一直有個困擾, 就是看盤軟體的隱含波動率計算, 目前軟體的市場價格都
是使用現貨指數.
歐式選擇權, 因無法提前履約, 而期貨又具有價格發現功能.
理論上到期時, 現貨應會向期貨收歛, 故評估選擇權時應該以期貨指數為準而非現貨.
這情況在2008/10/13~2008/10/24臺灣實施下跌3.5%限制時, 尤其嚴重, 對選擇權隱含波動
率的評估會嚴重失真.
網路上找到隱含波動率計算機都是要人工輸入各項參數,
用起來太麻煩, 故自己用 Excel 做了一個, 除自己使用外, 也提供大家參考.
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現在用 excel DDE+康和全都賺看盤, 真是上班族看盤必備聖品啊~~~
我都把字的顏色調成灰色~~~科科~~~
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