geometricasiancf.h

蒙特卡罗期权定价 布朗桥方法 分层样本方法

#define GeometricAsianCF_H

class GeometricAsianCF
{
public:
GeometricAsianCF(double Spot,
				double Strike,
				double r,
				double d,
				double Vol,
				double Expiry,
				double period)
{
S=Spot;
K=Strike;
rate=r;
q=d;
sigma=Vol;
time=Expiry;
N=period;
}

double option_price_asian_geometric_average_price_call()
{
	double deltaT=1/N;
    double sigma_sqr = pow(sigma,2);
    double adj_div_yield=rate-q-sigma_sqr/2.0;
	double V0=exp(-rate*time)*S*exp(0.5*(N+1)*adj_div_yield*deltaT + 1.0/12/N*(N+1)*(2*N+1)*sigma_sqr*deltaT);
	double adj_sigma=sigma*pow(N,-1.5)*pow((1.0/6)*N*(N+1)*(2*N+1),0.5);
	double adj_sigma_sqr = pow(adj_sigma,2);
    double time_sqrt = sqrt(time);
    double d1 = (log(V0/K) + (rate + 0.5*adj_sigma_sqr)*time)/(adj_sigma*time_sqrt);
	double d2 = d1-(adj_sigma*time_sqrt);
    double call_price = V0* CumulativeNormal(d1) - K * exp(-rate*time) * CumulativeNormal(d2);
    return call_price;
};


private:
						
						double S;
						double K;
						double rate;
						double q;
						double sigma;
						double time;
						double N;


};