latticeecapcall.m

来自「利用二叉树及蒙特卡罗方法计算欧式美式权证的例程」· M 代码 · 共 21 行

function [price,lattice]=latticeecapcall(S0,Sb,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
   St=S0*(u^j)*(d^(N-j));
    if (St<=Sb)&(St>=X)
     lattice(N+1,j+1)=St-X; 
      else
    lattice(N+1,j+1)=0;
    end
end

for i=N-1:-1:0
    for j=0:i
        lattice(i+1,j+1)=exp(-r*deltaT)*(p*lattice(i+2,j+2)+(1-p)*lattice(i+2,j+1));
    end
end
price=lattice(1,1);