binomoaltree2d.m

二叉树方法计算欧式期权价格

%bimimial tree mwthod on the two-dimensional option
%chooser=1: maximu,,choose=0; minimum

function [s]= binomialtree2d(K,chooser,s1,s2,sigma1,sigma2,r,tou1,tou2,cov,m,T)

h=T/m;
u1=exp(sigma1*sqrt(h));
d1=exp(-sigma1*sqrt(h));
u2=exp(sigma2*sqrt(h));
d2=exp(-sigma2*sqrt(h));

s1=zeros(m+1,(m+1)^2);
s2=zeros(m+1,(m+1)^2);
s1(1,1)=s1;
s2(1,1)=s2;

wina=r-tou1-sigma1^2/2;
winb=r-tou2-sigma2^2/2;

u1u2=1/4(1+cov+sqrt(h)*(winina/sigma1+winb/sigma2));
u1d2=1/4(1-cov+sqrt(h)*(winina/sigma1-winb/sigma2));
d1u2=1/4(1-cov+sqrt(h)*(-winina/sigma1+winb/sigma2));
d1d2=1/4(1+cov+sqrt(h)*(-winina/sigma1-winb/sigma2));


for i=1:(m+1)^2
    s1(m+1,i)=s1(1,1)*u1^(m-(1+mod((i-1)/m)))*d1^((1+mod((i-1)/m))-1);
    s2(m,i)=s2(1,1)*u2^(m-(1+rem((i-1)/m)))*d2^((1+rem((i-1)/m))-1);
end
s()=zeros(m+1,(m+1)^2);
if chooser
    for k=m:1
       for p=1:(k+1)^2
       s(k+1,p)=max(max(s1()))
       
       end
   end
    
    
    
else
    
end