Browsing All Posts filed under »Quantitative Finance«

Stock data from Yahoo into Matlab

February 21, 2013


1. Save the following Matlab code as stock_data.m, say in C:\Desktop. 2. Open Matlab and change the current directory to C:\Desktop. 3. At the Matlab Command >> type     >>[hist_date, hist_high, hist_low, hist_open, hist_close, hist_vol] = stock_data(‘GOOG’); Here, GOOG is the stock symbol for Google Inc. 4. Among others, the above will return hist_close as a (column) vector […]

Futures Price

April 26, 2011


The futures price of an index can be treated like the price of an asset which pays a dividend yield equal to the risk-free rate. Recall that the Black’s price of a European futures option is where The above can be obtained if we substitute by and by into the Black-Scholes call price formula; that […]