期权定价模型.xls

m到期价格 概率期权价值 贴现值S=100 1484.1321.74092E-31 1476.1322.4445E-28X=81 1342.8981.79393E-29 1334.8982.27793E-26T=12 1215.1049.15036E-28 1207.1041.05067E-24STDE=0.53 1099.4723.08014E-26 1091.4723.19792E-23n=1004 994.84327.69677E-25 986.84327.22506E-22r=0.055 900.17131.52278E-23 892.17131.29232E-20u=1.0512716 814.50872.48448E-22 806.50871.90603E-19d=0.9512297 736.99793.43789E-21 728.99792.38398E-188 666.86334.11824E-20 658.86332.58103E-17p=0.4925029 603.40294.33794E-19 595.40292.45686E-161-p=0.50749810 545.98154.06773E-18 537.98152.08163E-1511 494.02453.42948E-17 486.02451.58552E-1412 447.01182.62098E-16 439.01181.09452E-1313404.4731.82823E-15396.4736.89491E-1314 365.98231.17071E-14 357.98233.98653E-1215 331.15456.91643E-14 323.15452.12607E-1116299.6413.78623E-13291.6411.05037E-1017 271.12641.92781E-12 263.12644.82519E-1018 245.32539.16003E-12 237.32532.06788E-0919 221.97954.07365E-11 213.97958.29166E-0920 200.85541.70007E-10 192.85543.11876E-0821 181.74156.67364E-10 173.74151.10294E-0722 164.44652.46942E-09 156.44653.6749E-0723 148.79738.62954E-09 140.79731.15576E-0624 134.63742.85295E-08 126.63743.4367E-0625 121.82498.93705E-08 113.82499.67647E-0626 110.23182.65649E-07 102.23182.58333E-0527 99.741827.50246E-07 91.741826.54721E-0528 90.250132.01556E-06 82.250130.0001576952981.66175.15652E-0673.66170.00036131330 73.890561.25754E-05 65.890560.00078818631 66.858942.92606E-05 58.858940.00163825332 60.496476.50143E-05 52.496470.00324656833 54.739470.000138048 46.739470.00613761934 49.530320.00028032 41.530320.01107398935 44.816890.000544698 36.816890.0190760513640.5520.0010134332.5520.03138026737 36.692970.001806337 28.692970.04930141738 33.201170.003085904 25.201170.07397557239 30.041660.005055175 22.041660.10599021240 27.182820.007943882 19.182820.144954082!)!(!mmnnCmn41 24.596030.011979174 16.596030.18911083242 22.255410.01734029 14.255410.23513718443 20.137530.024101419 12.137530.27826469444 18.221190.032172998 10.221190.31280824245 16.487210.041256633 8.4872130.33307661846 14.918250.050830616 6.9182470.33450815847 13.498590.060179422 5.4985880.3147635848 12.214030.068471427 4.2140280.27446819849 11.051710.074876128 3.0517090.21735608450100.07869919520.14972197951 9.0483740.079505441 1.0483740.07928635352 8.1873080.077199826 0.1873080.01375488153 7.4081820.0720457600546.70320.0646158790055 6.0653070.0556879380056 5.4881160.046111830057 4.9658530.03667895200584.493290.0280210310059 4.0656970.0205545570060 3.6787940.0144732970061 3.3287110.0097796740062 3.0119420.0063390480063 2.7253180.00393997800642.465970.0023471580065 2.2313020.0013395480066 2.0189650.0007319970067 1.8268350.0003827720068 1.6529890.0001914130069 1.4956869.14743E-050070 1.3533534.17436E-050071 1.2245641.81752E-050072 1.1080327.54348E-060073 1.0025882.98149E-0600740.907181.12097E-0600750.820854.00434E-070076 0.7427361.35733E-070077 0.6720554.35945E-080078 0.6081011.32462E-080079 0.5502323.80114E-090080 0.4978711.02818E-090081 0.4504922.61602E-100082 0.4076226.24609E-110083 0.3688321.39582E-110084 0.3337332.91089E-120085 0.3019745.64616E-130086 0.2732371.01478E-130087 0.2472351.68271E-140088 0.2237082.56151E-150089 0.2024193.55888E-160090 0.1831564.48219E-170091 0.1657275.07547E-180092 0.1499565.11632E-190093 0.1356864.53514E-200094 0.1227733.48007E-2100950.111092.26487E-220096 0.1005181.21554E-230097 0.0909535.16515E-250098 0.0822971.62931E-260099 0.0744663.39177E-2800100 0.0673793.49505E-30003.180444123一般化多期模型SSuSdSu2Su3Sd2Sd3teuteud1dudeptrmmnnnnmmnnCmn321)1()2)(1(!)!(!Su4Su2SSd2Sd44P3(1-P)6P2(1-P)24P(1-P)3(1-P)4nnPC0111)1(PPCnn222)1(PPCnn11)1(nnnPPCnnnPC)1(P4Sd3dudeptrmmnnnnmmnnCmn321)1()2)(1(!)!(!标的资产价格10执行价格8无风险利率0.05期限1波动率0.5d10.796287d20.296287看涨期权期权价值3.179252 21dNeXdNSctTr)(1)(1 12dNSdNeXptTrtTtTtTrXSdt21ln1tTdtTtTtTrXSdt1221ln)()(12dNSdNeXtTr 21dNeXdNSctTr)(1)(1 12dNSdNeXptTrtTtTtTrXSdt21ln1tTdtTtTtTrXSdt1221ln)()(12dNSdNeXtTr标的资产价格10执行价格8无风险利率0.05期限1波动率0.5正态分布随机数标的资产期末价格-0.1629410698.5515671510.52466690.454407 0.453419 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0.6527070.179930.9943553315.2527949 6.899071920.944565 0.282806 0.5857361.35149133818.23478004 9.735623930.94128 0.033309 0.908282-0.3798163827.67276389700.817017 0.706015 0.751703tTtTrSNST),)(2(lnln20.0661918129.5896174621.51209090.984795 0.179853 0.940828-0.4330557257.47121196600.6173760.60828 0.698047-0.5296704757.11887605500.2383590.21971 0.4952710.95694134314.97011326 6.630176830.6335030.91811 0.756056-0.0140502669.212488048 1.153354310.136595 0.931474 0.6884660.027891329.4077211671.33906580.0982550.12703 0.8783740.35668043911.08868603 2.938049040.0846570.51371 0.9489820.76331929413.588783915.31621570.896549 0.172451 0.314249-0.1629589528.551490685 0.524594170.216091 0.363516 0.3617051.93698098324.43644302 15.63482820.753741 0.560975 0.974573-0.4856410737.27733378200.181549 0.178973 0.8043511.04249816515.62440595 7.252559280.990872 0.974691 0.056197-0.4725990747.3249443400.071715 0.131464 0.7583420.1568957310.03453816 1.935312560.777742 0.519102 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