期权定价模型.xls

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1、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=1.051271

2、6 814.50872.48448E-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-

3、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-11 213.97958.2

4、9166E-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-05

5、27 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 49.5303

6、20.00028032 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

7、.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 12.214030.0684714

8、27 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

9、.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

10、 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 0.3688321.39582

11、E-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 0.100

12、5181.21554E-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(P4Sd3dudeptrmmnnn

13、nmmnnCmn321)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

14、机数标的资产期末价格-0.1629410698.5515671510.52466690.454407 0.453419 0.269846-0.1054292228.801045157 0.761977720.388024 0.702427 0.3143980.55884808912.26818269 4.060020960.765974 0.419295 0.399674-1.3650258474.68830996800.2082690.21519 0.8241090.15579915410.029037851.93008050.7503 0.140016 0.3478590.08048581

15、89.658399991 1.577518870.11814 0.333185 0.2043120.79466962213.80346854 5.520430040.025339 0.780611 0.1111132.31109922129.46298423 20.41622210.899461 0.6092170.185270.82960652714.046712145.75181050.74737 0.258126 0.8023891.61476864920.80034176 12.17606170.994975 0.797648 0.736262-0.7762815446.2930403

16、7900.869497 0.648515 0.483441-0.6671366096.64601075700.748672 0.3113890.39411-1.5325007154.31171068300.1068330.12846 0.3944070.47335650511.754819723.5716950.406941 0.395923 0.261881-0.1689004448.5261240750.50046470.172085 0.210939 0.887288-1.7745327783.82026084300.0823670.48038 0.135471-0.8622429296

17、.02829144600.8747790.27187 0.8985661.37283185518.43039162 9.921695420.423115 0.891571 0.7241220.74038167913.43382705 5.168816180.596822 0.764357 0.5912990.21528364410.33180411 2.218080680.605763 0.3042150.35189-0.1933912858.42235475 0.401756270.319788 0.323317 0.9007130.28729148810.71056714 2.578371

18、220.530065 0.4086070.928622.37086790930.35675453 21.26640270.582984 0.929219 0.4879391.47883237719.43355637 10.87593520.556655 0.848842 0.969413-0.7106552886.50295994200.750715 0.766743 0.3140110.46525591811.70730554 3.526498120.410898 0.752026 0.171453-0.6599953586.66978359100.385055 0.459081 0.155

19、603-0.4981475827.23196875200.590632 0.4391940.06629-0.2745536188.087407999 0.083145060.666615 0.294123 0.0718050.97987993415.14279831 6.794439930.592136 0.919806 0.6723170.15017801510.00089011 1.903305550.454419 0.3935360.33510.19376632210.22124354 2.112912210.728561 0.297751 0.4297261.34637881418.1

20、8822669 9.691341020.690097 0.678445 0.724109-1.1113297895.32237801200.027216 0.508016 0.698174-0.9666191975.7217545300.3146240.18487 0.499422-0.421572297.51423294500.051581 0.086726 0.819157-1.9250624533.54328359500.020363 0.6527070.179930.9943553315.2527949 6.899071920.944565 0.282806 0.5857361.351

21、49133818.23478004 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

22、.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 0.524594170.216

23、091 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 0.8910251.11

24、581958716.207836937.8075360.903818 0.7073320.491650.66546133412.93990258 4.698980690.782197 0.664662 0.5751180.1119778219.811684817 1.723327910.217799 0.752824 0.173489-0.9539038155.75824755900.457195 0.801876 0.357368-1.0065022435.60878417600.5903750.238720.223361.63138663720.97389169 12.34114750.8

25、93640.71138 0.8495550.73876316313.42296002 5.158479130.717854 0.315026 0.452759-0.6985454556.54245426900.831439 0.393767 0.777778-0.6954728966.55251303300.682998 0.471283 0.488357-0.6210129796.80106082300.762782 0.354813 0.2505720.40071475811.33553489 3.172858930.92413 0.897448 0.270091-0.7455728156

26、.3904116400.0336060.04154 0.311592-2.0305271363.36127889400.045012 0.065933 0.419954-0.4420265227.43777564800.267312 0.772922 0.3645190.68216296913.04841379 4.802199740.961549 0.023701 0.198944-0.5769361126.95260936200.474869 0.484428 0.1534130.61177000612.59714368 4.372938330.384362 0.810841 0.0563

27、180.72245176913.31393162 5.054768120.361945 0.727099 0.4451550.9247121614.73080932 6.402543880.9833890.01508 0.6789490.0476636869.501188882 1.427975040.066574 0.729456 0.0115261.80080317722.82797327 14.10480450.89318 0.944466 0.8069150.8710268914.3406554 6.031417980.347806 0.446366 0.820523-1.106322

28、1455.33572099700.717792 0.011022 0.748512-0.4929629227.25074071900.560016 0.372702 0.4914030.43033553511.50466794 3.333743260.0278060.91522 0.243532-1.6807372354.00369015900.17541 0.458429 0.4570252.30560847729.3822083 20.33938570.57598 0.599231 0.7004630.22176218810.36532589 2.249967590.930447 0.50

29、25140.19287-0.0672289138.9707621280.92341750.632619 0.287277 0.119855-0.28078638.062244107 0.059208430.3754080.80199 0.0306240.4792696911.78962536 3.604803150.693429 0.161195 0.200592-0.1621576778.554917418 0.527853780.556822 0.556877 0.688419-1.5023488924.37720611400.696431 0.428279 0.067593-1.9339

30、314043.52760577800.440946 0.080551 0.252889-0.0631310318.989161533 0.940919560.824145 0.539364 0.980943-2.1221596483.21075229300.203128 0.040214 0.7504491.65055869521.17591478 12.53331780.823429 0.829136 0.006632-0.3719082717.7031624900.142061 0.637326 0.378174-1.4579364054.47549468800.545265 0.4827

31、34 0.703803-0.6401187326.73640046800.768749 0.439732 0.072548-0.6155072476.81980902600.273685 0.5814510.41074-0.1741242878.503883566 0.479308870.879295 0.113119 0.6932030.5722581412.35071756 4.138530560.724417 0.644477 0.819095-0.1523255938.59707730.56795750.62025 0.328195 0.333506-1.1575939775.2006

32、7333500.5791430.02358 0.990983-0.1609116478.560248923 0.532925260.27135 0.481295 0.837037-0.0430373139.079929576 1.027260790.970951 0.271017 0.6421840.85831965714.24982921 5.945021440.744545 0.648793 0.7358511.55524784920.19043581 11.59590120.908627 0.764507 0.7890450.58885675812.45364654.23643960.4

33、43033 0.837442 0.114212-0.4224505697.51093387100.543705 0.493265 0.4515682.38460032730.56590758 21.46535530.944715 0.547351 0.308807-0.7476110536.38390236800.234881 0.065956 0.1983981.46740217719.32280841 10.77058850.976245 0.686443 0.659792-0.8919586845.93938593900.003436 0.479852 0.2154661.9459017

34、1624.54568195 15.73873950.686427 0.0547770.59586-2.136393163.1879832700.109154 0.036844 0.1131550.0466615669.496429408 1.423447680.046619 0.9292410.440753.10118288943.73621762 33.99334170.846594 0.924054 0.760317-0.4071044067.56878755400.206799 0.947157 0.073045-1.8261518423.72292322200.37347 0.5106

35、47 0.495508-0.5673515086.98600833100.267953 0.042597 0.5251011.22543163217.1209166 8.676084250.844761 0.649909 0.417447-0.0462249719.0654692461.01350570.466448 0.765448 0.039436-1.5542752264.265022600.61298 0.981765 0.580737-0.9829091485.67534025800.942456 0.253061 0.956277-0.344980177.80757962200.3

36、84729 0.2386380.681690.1481097089.990553005 1.893472590.447334 0.367886 0.5862420.1058130269.781487868 1.694603680.920715 0.869502 0.894728-0.9148263555.87186273800.054619 0.0826090.59933-1.4238679794.55238423500.491035 0.687386 0.7668671.28623721517.64943374 9.178825310.896589 0.530274 0.489799-0.8

37、889948785.9481940600.309275 0.360979 0.5255023.0890336343.47134163 33.74138390.762081 0.7896270.798761.26081208217.42648428 8.966749220.410274 0.641739 0.664851-0.0616515958.995813436 0.947247040.68876 0.4653450.4524-1.4943152194.39482399300.104344 0.562595 0.6257251.11860509216.23042616 7.829023540

38、.001783 0.784177 0.943836-0.8575371236.04249213100.119533 0.800516 0.2521050.50833001411.96218112 3.768943270.4355640.95234 0.789204-1.8985864523.59050143100.413758 0.045922 0.4794871.9902660325.09624186 16.26244830.921799 0.7719780.207010.23031785510.40976201 2.292236530.347867 0.838071 0.244102-0.

39、7465891336.38716511900.814523 0.229174 0.9617070.39252609311.28921832 3.128801250.2883190.504 0.643289-1.875090353.63293157200.319944 0.085206 0.1591750.75246458313.51523252 5.246251460.80494 0.880911 0.7766280.66034183212.906822 4.667513470.977921 0.353718 0.867693-1.0033443825.6176470500.43746 0.0

40、18899 0.035642-0.7858836426.26289959500.526709 0.7468260.712940.5375814912.13842254 3.936589290.978385 0.317296 0.8062781.45197888119.1743708 10.62939030.614315 0.920872 0.459105-0.794935316.23461879700.312787 0.316868 0.474053-1.4428046314.50948419300.086371 0.380089 0.329736-0.5675566826.985291693

41、00.822028 0.747836 0.3334270.4254266711.47646513 3.306915920.94055 0.206008 0.8207431.06725504915.81901374 7.437675940.701276 0.7009920.891150.42304904811.46282989 3.293945680.0348620.02778 0.639389-0.1294560748.695947009 0.662005270.053492 0.289292 0.1408451.11158317616.173541747.77491340.721791 0.

42、5974180.741980.0961950549.73456175 1.649966180.438480.08158 0.1531520.30426665310.80186084 2.665212480.449838 0.215771 0.6612610.83041536614.052394055.75721530.941329 0.073865 0.719751-0.3578783917.75738969100.7855580.16748 0.246451-0.1604957488.562029208 0.534618720.752882 0.130656 0.576689-0.32328

43、90637.89271799300.388344 0.499185 0.465055-2.1935499373.09816538300.521975 0.114384 0.340081-0.1892816128.4396791040.41823570.693721 0.845646 0.873258-1.3758379494.6630331100.00471 0.325145 0.0911110.34975760511.05036982 2.901601530.205013 0.107616 0.683745-0.4253060927.50021770300.832896 0.178074 0

44、.935005-0.7276649426.44788791500.108821 0.0005350.384460.93869046914.834125856.50082160.200997 0.529208 0.9710890.82959455514.04662805 5.751730520.742340.68002 0.264243-1.631784644.10289479800.455633 0.038352 0.639295-0.9301298185.82710428100.242145 0.494291 0.4133160.1441439869.970762757 1.87464752

45、0.50671 0.350456 0.7132450.34404725911.0188641 2.871632360.350799 0.956703 0.921837-0.5427228337.07256826500.30201 0.230229 0.0720640.717288513.27960425 5.022114910.941366 0.873709 0.191332-0.2443013568.210669072 0.200394620.580143 0.133864 0.4460711.02139290115.46039424 7.096546520.893005 0.984251

46、0.245882-0.452821697.3977377800.293484 0.417651 0.0302492.41610693231.05123428 21.92701230.926149 0.600754 0.2404590.0234341319.386778519 1.319144530.533989 0.694109 0.990475-0.2453821348.2062333150.19617520.280579 0.060901 0.2926490.52487022912.06151985 3.863437190.941724 0.286128 0.5228270.0622132

47、649.570560049 1.493962930.5869630.07962 0.251276-0.3707302197.70770118800.086957 0.964004 0.043897-0.4225919937.51040277900.317371 0.122435 0.009744-0.5452227387.06373341300.801666 0.084784 0.0590660.0718898649.61697749 1.538116570.261041 0.482259 0.3206450.55612603912.251496744.04414880.296424 0.79

48、50470.173971.57979266720.43974779 11.83305410.148514 0.361473 0.9168410.68064273813.03849926 4.792768750.09475 0.299617 0.914572-0.1951188768.415082697 0.394838870.643834 0.329559 0.1533070.84555584914.159177745.85879110.765968 0.233999 0.576011-0.574128626.96237591500.477693 0.570822 0.971023-1.018

49、0746325.57642436800.5429320.179350.819260.68198944113.0472817 4.801122870.518613 0.8311040.30246-0.004943689.254530846 1.193346650.54819 0.633018 0.1303131.32297055817.97659029 9.490026240.862118 0.235595 0.8534040.59339304612.48192523 4.263339150.653811 0.818922 0.265313-0.4373685067.45511847600.21

50、53070.09657 0.552398-0.3316237197.85989488800.3388060.07774 0.6180540.40122595811.33843262 3.175615340.867232 0.113605 0.639682-1.0183631445.57561999400.154672 0.017799 0.993483-0.4116344777.5516633800.229531 0.622222 0.090957-0.3370603447.83855825100.723485 0.834089 0.8052590.3762086211.19748728 3.