推 cckai:這跟我的寫法一樣啊~會接近0.15沒錯 220.229.89.24 04/12
→ cckai:但直接算st的平均值是42.XX 期間報酬遠大於0.15 220.229.89.24 04/12
昆展大大的想法是對的
Function mcAverage(s,t,rf,v,n,num )
Dim drift, vol, dT, sum, st, Taverage, z As Double
Dim i, j As Integer
dT = t / n
drift = rf * dT
vol = v * dT ^ 0.5
For i = 0 To num - 1
st = s
For j = 0 To n - 1
st = st * Exp(drift + vol * WorksheetFunction.NormInv(Rnd(), 0, 1))
Next j
Taverage = Taverage + Log(st / s)
Next i
mcAverage = Taverage / num
End Function
5000次之後答案為0.15907079
有興趣的同學TRY10000次吧
我要去睡了
--
L`amour `eternel
這是一句我唯一能對妳說的話
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