推 kane2000:你太陽能買哪檔 05/22 20:58
→ astro54088:昇陽科停損 中美晶續套中 05/27 02:49
hw2
%CH16 Program for Chapter 16
%
% Implements binomial method for European call
%%%% Problem and method parameters %%%%%%%%
S = 3; E = 2; T = 1; r = 0.05; sigma = 0.3;
M = 400; dt = T/M; p =0.5;
%%%%%%%%%%%%%%%%%%%%%%%%%
u = exp(r*dt)*(1+sqrt(exp(dt*sigma^2)-1));
d = exp(r*dt)*(1-sqrt(exp(dt*sigma^2)-1));
% Time T option values
W = max(S*d.^([M:-1:0]').*u.^([0:M]')-E,0);
for i=1:M+1
V(i) =exp(-r*T)*(nchoosek(M,i-1))*(p^(M-i+1))*W(i)*((1-p)^(i-1));
end
W=sum(V);
disp('Option value is'), disp(W)
===============================
以更正 項次看錯
我最近睡眠不足有點恍神
本週下錯四次單
損失大概可以相當於請全班吃鼎泰豐
不要說我小氣 如果我太陽能解套我請大家吃大餐
不過看來遙遙無期...
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