[閒聊] 母親節一定要回家的啊~

[overstarpjm (我...)]

廢話不多說，這禮拜作業的兩個CODE(講義上的那兩個)分別如下:

NO.1:

clf
S=10; E=9; sigma=0.1; r=0.06; T=1;
M=cumprod(ones(13,1)*2,1)*16;

for j=1:1:13;
V=zeros(M(j),1);
randn('state',100);

   for i=1:M(j)
       Sfinal=S*exp((r-0.5*sigma^2)*T+sigma*sqrt(T)*randn);
       V(i)=exp(-r*T)*max(Sfinal-E,0);
   end

aM(j)=mean(V); bM(j)=std(V);
conf(j,:)=[aM(j)-1.96*bM(j)/sqrt(M(j)), aM(j)+1.96*bM(j)/sqrt(M(j))]
error(j)=1.96*bM(j)/sqrt(M(j));
j=j+1
end

loglog(M,aM,'x')
ylim([10^0.054 10^0.31])
hold on

loglog(M,conf,'-')

analy=exp(0.433)*ones(6,1);
M_analy=cumprod(ones(6,1)*10,1)
loglog(M_analy,analy,'--')

xlabel('Num samples');ylabel('Option value approximation')
title('Fig. 15.2 Monte Carlo approximations to a European call option value')



NO.2:

clf
S=10; E=9; sigma=0.1; r=0.06; T=1; h=1e-4;
M=cumprod(ones(13,1)*2,1)*16;

for j=1:1:13;
V=zeros(M(j),1);
randn('state',100);

   for i=1:M(j)
       u=randn;
       Sfinal=S*exp((r-0.5*sigma^2)*T+sigma*sqrt(T)*u);
       Sfinal_h=(S+h)*exp((r-0.5*sigma^2)*T+sigma*sqrt(T)*u);
       V(i)=exp(-r*T)*(max(Sfinal_h-E,0)-max(Sfinal-E,0))/h;
   end

aM(j)=mean(V); bM(j)=std(V);
conf(j,:)=[aM(j)-1.96*bM(j)/sqrt(M(j)), aM(j)+1.96*bM(j)/sqrt(M(j))]
error(j)=1.96*bM(j)/sqrt(M(j));
j=j+1
end

loglog(M,aM,'x')
ylim([10^-0.08 10^0.023])
hold on

loglog(M,conf,'-')

analy=exp(-0.0461)*ones(6,1);
M_analy=cumprod(ones(6,1)*10,1)
loglog(M_analy,analy,'--')

xlabel('Num samples');ylabel('Delta approximation')
title('Fig. 15.3 Monte Carlo approximations to time-zero delta of a European
call option')

至於上課出的那個題目，我自己跑出來有些問題，

所以就麻煩MATLAB天王-CIDA或MATLAB小天王-某T分享囉，感謝!!

最後母親節一定要回家哦，不回家的小孩是壞小孩~~

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◆ From: 61.230.222.100
推 chihchih1:yo，我在家了(^0^)
→ overstarpjm:樓上難得呦XDD
推 astro54088:第一題跟第二題好像長得一樣@@? 第二題是要做啥阿?
→ overstarpjm:有一點不一樣啦 第二題是要模擬delta
→ overstarpjm:你注意看座標軸就會發現不太一樣了~~
→ overstarpjm:噗 不對 我貼錯了 貼成一樣的>"<
※ 編輯: overstarpjm     來自: 122.122.112.233      (05/07 09:05)
→ overstarpjm:已改正 多謝提醒!!
推 brent0424:第二題也是做圖嗎?  還是算信賴區間呢@@
→ chihchih1:圖,too
→ overstarpjm:我也記得是畫圖耶~
推 brent0424:原來如此~
推 kane2000:THX