求解蒙特卡罗模拟金融衍生品定价(张树德那本书)代码意义
1 个回复 - 2659 次查看
function =AsianMCCV(s0,k,r,t,sigma,nsamples,nrepl,npilot)
trypath=assetpaths1(s0,r,sigma,nsamples,npilot);
stocksum=sum(trypath,2);
pp=mean(trypath(:,2:(nsamples+1),2);
trypayoff=exp(-r*t)*max(0,p ...
2015-10-29 01:11 - lixutao - MATLAB等数学软件专版