Re: [公告] 有關明天選擇權的作業!!!

作者cckai (CCK)

看板CCUfinGrad93

標題Re: [公告] 有關明天選擇權的作業!!!

時間Tue Apr 12 01:23:09 2005

Function simulation(s, m, t, v, n, Num) dt = t / n drift = m * dt vol = v * Sqr(dt) For i = 1 To Num st = s cr = 0 cr2 = 0 For j = 1 To n s1 = st st = st * Exp(drift + vol * Application.NormSInv(Rnd())) r = Log(st / s1) cr = cr + r cr2 = cr2 + r ^ 2 Next std = Sqr(cr2 / (n - 1) - cr ^ 2 / (n * (n - 1))) * Sqr(n) Sum = Sum + st Sumr = Sumr + cr Sumstd = Sumstd + std Next simulation = Sumstd / Num'can be shown as "mean of prices(Sum/Num)","mean of returns(Sumr/Num)", or "mean of STD(Sumstd/Num)" End Function 參考一下~這是我的結果!! 模擬3000個path: Mean of prices 42.63790603 Mean of returns 0.155677164 Mean of sigma(std) 0.299791742 好像蠻接近的!!! -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 220.229.89.24

→ cckai:直接看平均股價,一年報酬率經複利其實已達19.74% 220.229.89.24 04/12

推 pcer:r = Log(st / s1)......原來是這東西搞鬼...哈 218.171.144.6 04/12

推 wakau:晉凱請問cr=0 cr2=0是什麼ㄋ不好意思 ^^我想聽 220.143.214.13 04/12

推 cckai:模擬一次結束變數讓他歸零~那兩變數為算標準差之用 220.229.89.24 04/12

推 dilimma:雖然我不知到在幹嗎..不能用最後一期股價求140.123.216.195 04/12

→ dilimma:期間報酬率嗎？...不用在中間算一堆報酬率吧？140.123.216.195 04/12

推 pcer:第一個問題...為何 cr=log(st/s1) 218.171.144.6 04/12

推 pcer:第二個問題...為何裡面迴圈的平均cr最後不需除天撮옠 218.171.144.6 04/12

推 cckai:給定的報酬率為0.15,但其實期間報酬率超過0.19~~ 220.229.89.24 04/12

→ cckai:0.15則要切割成250天去累計求得! 220.229.89.24 04/12

推 pcer:坤展不愧是學長.....的確是0.15...... 218.171.144.6 04/12

→ cckai:我的cr是累計報酬率(就是加總啦) 220.229.89.24 04/12

→ cckai:除以天數要再年化,所以沒除,這點上課就覺得怪怪的ꤠ 220.229.89.24 04/12

推 dilimma:靠...我還是狀況外....>_<140.123.216.195 04/12