第章 障碍期权（有限差分法和三叉树法）

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1、第09章障碍期权（有限差分法和三叉树法）回溯期权－CRRtree回溯期权的定价－－CRRtree输入1=欧式，2＝美式1股价S50无风险利率r10%股息率q0%波动率v40%期限T04>>.6分段N5输出时间间隔t0>.12a1>.012u1>.149d0>.871p0>.5091-p0>.491欧式看跌期权价格计算看涨期权清除计算看跌期权计算看跌期权不超过250障碍期权－有限差分障碍期权的定价－－显性有限差分法up-and-outcall欧式输入股价S50说明：调整△Z使H稳定，ln（H）/40只是目前条件下较好的试验值，需根据不同的S和

2、H调整，以确保aj、bj和cj大于零。协议价格X50障碍H70无风险利率r10%波动率v40%期限T0>.5分段N10输出△t0>.05△Z0>.106aj*0>.348bj*0>.289cj*0>.357ZSi01234567891000000000000000>.10621238111>.1120580315000000000000>.21242476211>.2366730654000000000000>.31863714321>.3752522147000000000000>.42484952421>.529360270600000

3、0000000>.53106190531>.700737372000000000000>.63727428631>.891318654000000000000>.74348666742>.1032560992000000000000>.84969904842>.3389428374000000000000>.95591142952>.6010401675000000000001>.06212381052>.8925076085000000000001>.16833619163>.2166363172000000000001>.2745485

4、7263>.5770862509000000000001>.38076095373>.9779274946000000000001>.48697333474>.423686219000000000001>.59318571584>.9193957886000000000001>.6993988><#004699'>09685>.4706535968000000000001>.80561047796>.0836842697000000000001>.91182285896>.7654099532000000000002>.018035247>

5、.5235284747000000000002>.1242476218>.3666002653000000000002>.23046000219>.3041450213000000000002>.336672383110>.346749197000000000002>.442884764211>.5061855442000000000002>.549097145212>.7955460462000000000002>.655309526314>.2293897479000000000002>.761521907315>.8239071522

6、000000000002>.867734288417>.5971030380>.000030678900000000002>.973946669419>.56899976420>.00047351090>.0000858160000000003>.080159050521>.76186335590>.00346759380>.00125504960>.0002400473000000003>.186371431524>.20045492490>.01653549080>.00860010740>.0033163410>.0006714680

7、0000003>.292583812626>.91231026480>.05831826110>.03806947540>.02113808880>.00873300620>.00187825120000003>.398796193629>.92805077570>.16184566920>.12393692880>.08614798640>.05140471090>.02290775810>.0052539031000003>.505008574733>.28172923170>.36649358270>.3153184950>.2563

8、5758040>.19085855780>.12341755630>.05982516330>.014696382900003>.611220955737>.0112142937