分布示例 63.482 份欧式股票看跌 10.066231 期权 56.55916 0.130555 50.39127 50.38856 0.257353 0.257298 44.896 44.89358 0.5073 0.380394 40 39.99785 39.99569 0.499893 0.37484 35.636 35.63408 0.4927 0.369446 1.1224 31.74811 31.7464 0.242753 0.242702 d=0.8909 28.28439 0.119605 p=0.5073 25.19857 0.058929
7 分布示例 63.482 0.066231 56.55916 0.130555 50.39127 50.38856 0.257353 0.257298 44.896 44.89358 0.5073 0.380394 40 39.99785 39.99569 0.499893 0.37484 35.636 35.63408 0.4927 0.369446 31.74811 31.7464 0.242753 0.242702 28.28439 0.119605 25.19857 0.058929 一份欧式股票看跌 期权： S=40,T-t=4m, r=0.1 =0.4，k＝40 取t=1month 计算得到 u=1.1224 d=0.8909 p=0.5073
欧式期权价值计算 63.482 56.55916 Nmax X-S:0 10 9127 50.38856 28 e(pc+(1-p)c1,) 44.896 44.89358 0.964346 10.002104 i< N 40 39.99785 39.99569 972589 0.004307 Co为期权价值 35.636 35.63408 4.702181 4.034967 7.592522 8.253597 28.28439 25.19857 14.80143
8 欧式期权价值计算 63.482 0 56.55916 0 50.39127 50.38856 0.001028 0 44.896 44.89358 0.964346 0.002104 40 39.99785 39.99569 2.78 1.972589 0.004307 35.636 35.63408 4.702181 4.034967 31.74811 31.7464 7.592522 8.253597 28.28439 11.38445 25.19857 14.80143 为期权 价值 ( (1 ) ) max{ ,0} 0 0 1, 1 1, c i N c e pc p c c X S i j i j r t i j Nj Tj = + − = − + + + −