布朗运动与Black-Scholes公式

初始股价 2 第n天 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49

股价漂移率μ 10% 标准正态分布随机数 -1.01 -0.15 -0.19 -0.15 0.41 0.76 -0.51 0.26 -0.81 0.38 -0.49 0.96 1.88 0.78 0.23 1.14 -0.99 -1.06 0.61 -0.47 -0.36 0.69 -0.03 0.01 0.52 0.48 2.01 0.75 0.37 -0.97 -0.06 0.43 1.93 0.47 0.35 0.86 -0.75 1.17 0.67 0.75 0.43 0.82 -0.87 1.24 0.04 -0.79 -0.26 -0.62 0.63

股价波动率δ 40% 股价 2 1.94 1.94 1.93 1.92 1.94 1.99 1.96 1.97 1.93 1.95 1.93 1.98 2.08 2.13 2.15 2.22 2.16 2.09 2.13 2.10 2.08 2.12 2.12 2.12 2.16 2.19 2.31 2.36 2.39 2.33 2.32 2.35 2.48 2.52 2.54 2.61 2.55 2.64 2.69 2.75 2.78 2.85 2.78 2.88 2.88 2.82 2.80 2.75 2.80

交易天数t 200

4 3.5 32.5 2

1.5 1 0.5 00

L1 L2 L3 L4 L5 L6 L7 L8 L9 L10 L11 L12 L13 L14 L15 L16 L17 L18 L19 L20 L21 L22 L23 5 10 15 20 25 30 35 40 45 50 L24 L25 L26 L27 L28 L29 L30 L31 L32 L33 L34 L35 L36 L37 L38 L39 L40 L41 L42 L43 L44 L45 L46 L47 L48 L49 L50 L51 L52 L53

501.0251-1.31520.56530.74540.75550.4056-1.4457-0.64581.57590.2160-0.17613.12620.4463-0.6864-0.2765-0.1466-0.2667-0.88680.82692.11702.00710.2772-0.50731.0874-0.61751.0276-0.8777-0.1478-1.4279-0.56800.84811.5782-0.61830.72841.2585-1.09860.3587-0.08880.84890.1790-0.2791-0.1092-1.1493-0.36940.1795-0.51960.6097-0.57980.2799-0.221.71-1.40-0.672.882.782.822.892.952.982.862.812.942.962.943.213.253.193.163.153.133.063.133.323.513.533.493.593.533.643.553.543.403.353.433.583.523.593.723.613.653.643.733.753.723.713.603.563.583.533.593.533.563.543.723.573.50L54L55L56L57L58L59L60L61L62L63L64L65L66L67L68L69L70L71L72L73L74L75L76L77L78L79L80L81L82L83L84L85L86L87L88L89L90L91L92L93L94L95L96L97L98L99L100L101L102L103L104L105L106100101102

1040.07105-0.72106-1.111070.21108-0.371090.391101.541110.72112-0.401130.581140.60115-1.361160.29117-1.32118-0.771190.55120-0.36121-0.57122-1.731230.14124-0.35125-0.303.543.473.363.383.353.393.543.613.573.633.693.553.593.453.383.443.403.353.193.203.173.15

L108L109L110L111L112L113L114L115L116L117L118L119L120L121L122L123L124L125

R1 R2 R3 R4 R5 R6 0.45 0.92 0.17 0.71 0.49 0.01 0.35 0.40 0.58 0.28 0.59 0.56 0.66 0.50 0.25 0.19 0.61 0.83 0.66 0.13 0.65 0.50 0.43 0.43 0.79 0.45 0.61 0.52 0.33 0.82 0.84 0.49 0.77 0.77 0.11 0.94 0.66 0.89 0.46 0.26 0.27 0.00 0.61 0.95 0.94 0.61 0.07 0.39 0.01 0.67 0.39 0.79 0.43 0.11 0.51 0.55 0.65 0.70 0.12 0.41 0.37 0.24 0.47 0.46 0.35 0.33 0.15 0.49 0.79 0.61 0.21 0.41 0.59 0.79 0.41 0.67 0.55 0.49 0.36 0.58 0.74 0.39 0.31 0.49 0.43 0.66 0.77 0.01 0.63 0.84 0.46 0.81 0.64 0.92 0.09 0.41 0.35 0.14 0.13 0.77 0.38 0.75 0.79 1.00 0.42 0.25 0.32 0.07 0.05 0.43 0.96 0.84 0.13 0

.60 0.63 0.42 0.21 0.92 0.59 0.91 0.57 0.54 0.50 0.66 0.38 0.78 0.27 0.80 0.11 0.65 0.91 0.85 0.61 0.14 0.30 0.58 0.73 0.14 50 55 60 65 70 75 80 85 90 95 100 105 110 115 120 125 0.61 0.98 0.15 0.99 0.17 0.47 0.61 0.32 0.99 0.73 0.76 0.48 0.13 0.53 0.34 0.44 0.95 0.21 0.93 0.84 0.72 0.92 0.64 0.62 0.39 0.37 0.66 0.65 0.67 0.75 0.70 0.61 0.91 0.40 0.21 0.45 0.02 0.94 0.60 0.50 0.20 0.54 0.88 0.33 0.33 0.57 0.06 0.63 0.31 0.71 0.59 0.47 0.35 0.40 0.79 0.79 0.51 0.07 0.83 0.60 0.97 0.08 0.99 0.40 0.82 0.89 0.30 0.30 0.46 0.79 0.98 0.20 0.82 0.08 0.44 0.97 0.77 0.44 0.73 0.02 0.96 0.69 0.58 0.25 0.94 0.07 0.55 0.73 0.95 0.53 0.99 0.81 0.30 0.13 0.99 0.68 0.73 0.76 0.56 0.51 0.70 0.63 0.33 0.47 0.40 0.41 0.75 0.30 0.85 0.18 0.70 0.06 0.19 0.92 0.98 0.44 0.38 0.63 0.37 0.18 0.51 0.55 0.75 0.21 0.90 0.86 0.00 0.22 0.68 0.63 0.39 0.81 0.99 0.04 0.03 0.72 0.48 0.09 0.95 0.68 0.95 0.74 0.28 0.54 0.97 0.24 0.14 0.75 0.90 0.24 0.09 0.35 0.97 0.11 0.63 0.42 0.70 0.79 0.58 0.95 0.85 0.25 0.00 0.68 0.59 0.31 0.75 0.13 0.30 0.54 0.28 0.58 0.64 0.60 0.54 0.63 0.23 0.80 0.36 0.88

股价

R7 0.39 0.31 0.13 0.24 0.75 0.40 0.04 0.14 0.12 0.90 0.06 0.87 0.97 0.04 股价 0.60 0.33 0.42 0.24 0.05 0.68 0.26 0.38 0.22 0.49 0.48 0.31 0.58 0.53 0.74 0.29 0.42 0.36 0.85 0.30 0.21 0.47 0.42 0.51 0.67 0.65 0.77 0.96 0.34 0.53 0.51 0.97 0.03 0.80 0.67 0.79 0.64 0.35 0.05

R8 0.84 0.43 0.60 0.76 0.33 0.24 0.79 0.16 0.86 0.01 0.72 0.53 0.29 0.90 0.25 0.75 0.39 0.23 0.91 0.26 0.38 0.81 0.71 0.63 0.78 0.87 0.16 0.83 0.27 0.27 0.83 0.65 0.98 0.68 0.73 0.60 0.08 0.46 0.83 0.93 0.12 0.47 0.08 0.89 0.20 0.04 0.13 0.13 1.00 0.41 0.18 0.80 0.95

R9 0.01 0.93 0.43 0.33 0.25 0.23 0.27 0.75 0.19 0.47 0.72 0.43 0.83 0.65 0.59 0.84 0.74 0.51 0.87 0.32 0.52 0.33 0.72 0.38 0.45 0.88 0.31 0.94 0.11 0.20 0.26 0.44 0.83 0.73 0.71 0.73 0.57 0.64 0.37 0.21 0.77 0.81 0.77 0.25 0.96 0.04 0.55 0.07 0.71 0.01 0.16 0.70 0.72

R1R2R3R4R5R6R7

0.130.530.340.440.950.210.310.930.840.720.920.640.620.580.390.370.660.650.670.750.530.700.610.910.400.210.450.740.020.940.600.500.200.540.290.880.330.330.570.060.630.420.310.710.590.470.350.400.360.790.790.510.070.830.600.850.970.080.990.400.820.890.300.300.300.460.790.980.200.210.820.080.440.970.770.440.470.730.020.960.690.580.250.420.940.070.550.730.950.530.510.990.810.300.130.990.680.670.730.760.560.510.700.630.650.330.470.400.410.750.300.770.850.180.700.060.190.920.960.980.440.380.630.370.180.340.510.550.750.210.900.860.530.000.220.680.630.390.810.510.990.040.030.720.480.090.970.950.680.950.740.280.540.030.970.240.140.750.900.240.800.090.350.970.110.630.420.670.700.790.580.950.850.250.790.000.680.590.310.750.130.640.300.540.280.580.640.600.35R8R9

0.840.010.430.930.600.430.760.330.330.250.240.230.790.270.160.750.860.190.010.470.720.720.530.430.290.830.900.650.250.590.750.840.390.740.230.510.910.870.260.320.380.520.810.330.710.720.630.380.780.450.870.880.160.310.830.940.270.110.270.200.830.260.650.440.980.830.680.730.730.710.600.730.080.570.460.640.830.370.930.210.120.770.470.810.080.770.890.250.200.960.040.040.130.550.130.071.000.710.410.010.180.160.800.70

0.950.170.080.640.350.310.630.270.880.820.870.370.600.600.700.990.910.330.180.180.390.110.650.370.960.100.080.150.330.450.900. …… 此处隐藏：7733字，全部文档内容请下载后查看。喜欢就下载吧 ……