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Exp sigma sqrt deltat - PowerPoint PPT Presentation

HW6

HW6. 100071021 ???. Proportion Dividends (1). function [ Cprice , Pprice , Clattice , Plattice ] = bitprice_p ( S, K, r, T, sigma, q, tau, N, mode ) % mode : 1=>American 0=>European % dividend : proportion deltaT = T/N; u = exp ( sigma * sqrt ( deltaT ) ); d = 1/u;

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HW8

HW8. Oil Bond. Oil Bond - code. S = 30; r = 0.02; sigma = 0.06; T = 1; N = 10; deltaT = T/N; u = exp ( sigma * sqrt ( deltaT ) ); d = 1/u; p = ( exp( r * deltaT ) - d ) / ( u - d );. for i = 0 : N oilp(i+1) = S * u^(N-i) * d^(i); if oilp (i+1)<25 oilp (i+1) = 25;

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HW6

HW8