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8: Built-in Financial Computations
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Control Numerical Evaluation
Compute the critical value surface of an American put option using a custom number of grid points.
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X
ListPlot[{#, FinancialDerivative[{"American", "Put"}, {"StrikePrice" -> 40.00, "Expiration" -> 3}, {"InterestRate" -> EffectiveInterest[.05, 0], "Volatility" -> 0.26, "CurrentPrice" -> FinancialData["MSFT"], "Dividend" -> 0.07, "ReferenceTime" -> #}, "CriticalValue", "GridSize" -> {1000, 50}]} & /@ Range[0, 3, 0.05], Joined -> True, InterpolationOrder -> 0, Filling -> Bottom, Axes -> False, Frame -> True, PlotRange -> All]
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