编程_二叉树期权_定价模型_期权定价_

clear all clc S0=[2.785 2.801 2.842 2.841 2.839 2.87 2.883 2.869 2.885 2.939 2.913 2.913 2.967 2.958 2.924 2.899 2.894 2.898 2.814 2.899 2.907 2.939 3.004 2.951 2.861 2.911 2.874 2.836 2.796 2.687 2.675 2.618 2.564 2.624 2.553 2.627 2.687 ];%50ETF收盘价 Strike=2.65;%期权执行价格 sig=0.1915;%波动率 r=0.03855;%无风险收益率 c=[];%看涨期权理论定价 p=[];%看跌期权理论定价 for j=1:37 T=38-j; t=T/252;%胜于期限的年化 n=1000000; payoff=0; sumOfPayoff=0; optionValue=0; profit=0; for i=1:n S_expiry = S0(j)*exp((r-0.5*sig^2)*t+sig*t^0.5*randn); payoff = max ((S_expiry - Strike),0) ; sumOfPayoff = sumOfPayoff + payoff; end optionValue=exp(-r*t)*(1/n)*sumOfPayoff; c=[c,optionValue]; for i=1:n S_expiry = S0(j)*exp((r-0.5*sig^2)*t+sig*t^0.5*randn); payoff = max ((Strike-S_expiry),0) ; sumOfPayoff = sumOfPayoff + payoff; end optionValue=exp(-r*t)*(1/n)*sumOfPayoff; p=[p,optionValue]; end c;p;