latticeamput.m

利用二叉树及蒙特卡罗方法计算欧式美式权证的例程

function [price,lattice]=latticeamput(S0,X,r,T,sigma,N)
deltaT=T/N;
u=exp(sigma*sqrt(deltaT));
d=1/u;
p=(exp(r*deltaT)-d)/(u-d);
lattice=zeros(N+1,N+1);
for j=0:N
    lattice(N+1,j+1)=max(0,-(S0*(u^j)*(d^(N-j))-X));
end
for i=N-1:-1:0
    for j=0:i
        lattice(i+1,j+1)=max(exp(-r*deltaT)*(p*lattice(i+2,j+2)+(1-p)*lattice(i+2,j+1)),X-S0*u^j*d^(i-j));
    end
end
price=lattice(1,1);