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罗嘉瑞:朗廷酒店股息率或高达6.6% 鹰君拟增酒店资产比例 行业分析报告 fwu19 2013-5-15 0 1067 fwu19 2013-5-15 18:58:20
2013年差异化股息红利税新政 金融实务版 老渔夫 2013-3-21 1 4033 hnloop 2013-3-22 11:36:11
悬赏 关于股息的几个问题~ - [悬赏 8 个论坛币] 悬赏大厅 dududu100 2013-2-16 0 754 dududu100 2013-2-16 08:07:15
招商证券-2009年度A股投资策略之估值篇(二)-股息率视角下的A股估值-081200 attachment 金融学(理论版) xumw128 2008-12-17 0 1375 xumw128 2008-12-17 16:52:00
[免费]高华证券 看好银行的防御性和高股息 attachment 金融学(理论版) zhangining 2008-11-27 0 1508 zhangining 2008-11-27 00:32:00
[求助]怎样理解“将普通股分红的股息分红率折算成认股权证的投资价格 金融实务版 elleluo 2008-10-19 0 2485 elleluo 2008-10-19 15:35:00
[推荐]2008年10月15日_国金证券_宏观策略专题报告_A股股息率专题报告 attachment 金融学(理论版) arange 2008-10-16 0 1796 arange 2008-10-16 11:35:00
[求助]中证指数股息率1和股息率2的问题 金融学(理论版) uniquestt 2007-11-15 4 4174 nison 2008-9-16 22:30:00
请问红利、股息、和利息如何纳税 会计与财务管理 weixiaoyun 2008-8-23 0 2364 weixiaoyun 2008-8-23 16:44:00
研究中国股票市场市盈率、股息收益率、股利支付率与平均收益的关系 SPSS论坛 vivienrain_he 2008-7-26 2 7940 simonzxh 2008-7-27 02:16:00
[求助]为什么提早实施不支付股息的看跌期权是明智的? 金融学(理论版) yoyola 2008-6-6 3 3154 propro 2008-6-7 14:26:00
求助:含股息(分红)的美式期权定价使用什么方法好? 金融学(理论版) sunny273 2008-4-3 2 3783 sunny273 2008-4-5 21:43:00
[推荐]MBO公司的股息政策研究 attachment 金融学(理论版) rainingstar 2008-3-23 0 1629 rainingstar 2008-3-23 10:07:00
普通股的股息是可以改变的吗?因什么而改变? 真实世界经济学(含财经时事) 658423问 2007-2-26 0 1863 658423问 2007-2-26 13:59:00
股息和红利有什么区别? 金融学(理论版) cgshine 2005-10-24 5 4865 ppn 2005-10-26 11:41:00

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分享 C++——支付股息的欧式期权的二叉树定价
accumulation 2015-5-19 11:28
#include math.h #include vector #include iostream #include stdlib.h #include time.h using namespace std; double max(double a,double b) { if (ab) return a; else return b; } double option_price_call_American_binomial(const double S, const double X, const double r, const double sigma, const double time, const int steps) { double R=exp(r*(time/steps)); double Rinv=1.0/R; double u=exp(sigma*sqrt(time/steps)); double uu=u*u; double d=1.0/u; double p_up=(R-d)/(u-d); double p_down=1.0-p_up; vectordouble prices(steps+1); prices =S*pow(d,steps); for(int i=1; i=steps; ++i) prices =uu*prices ; vectordouble call_values(steps+1); for(int j=0; j=steps; ++j) call_values =max(0.0,(prices -X)); for(int step=steps-1; step=0; --step) { for(int i=0; i=step; ++i) { call_values =(p_up*call_values +p_down*call_values )*Rinv; prices =d*prices ; call_values =max(call_values ,prices -X); } } return call_values ; } double option_price_call_American_proportional_dividends_binomial(const double S, const double X, const double r, const double sigma, const double time, const int no_steps, const vectordoubledividend_times, const vectordoubledividend_yields) { int no_dividends=dividend_times.size(); if(no_dividends==0) { return option_price_call_American_binomial(S,X,r,sigma,time,no_steps); } double delta_t=time/no_steps; double R=exp(r*delta_t); double Rinv=1.0/R; double u=exp(sigma*sqrt(delta_t)); double uu=u*u; double d=1.0/u; double pUp=(R-d)/(u-d); double pDown=1.0-pUp; vectorint dividend_steps(no_dividends); for (int i=0; ino_dividends; ++i) { dividend_steps =(int)(dividend_times /time*no_steps); } vectordouble prices(no_steps+1); vectordouble call_prices(no_steps+1); prices =S*pow(d,no_steps); for(int j=0; jno_dividends; ++j) { prices *=(1.0-dividend_yields ); } for(int k=1; k=no_steps; ++k) { prices =uu*prices ; } for(int m=0; m=no_steps; ++m) call_prices =max(0.0, (prices -X)); for(int step=no_steps-1; step=0; --step) { for(int i=0; ino_dividends; ++i) { if(step==dividend_steps ) { cout"Dividend occurs: "stependl; for(int j=0; j=(step+1); ++j) { prices *=(1.0/(1.0-dividend_yields )); } } } for (int n=0; n=step; ++n) { call_prices =(pDown*call_prices +pUp*call_prices )*Rinv; prices =d*prices ; call_prices =max(call_prices , prices -X); } } return call_prices ; } int main() { double S=125; double X=100; double r=0.2231; double sigma=0.6931; double time=2; int no_steps=2; vectordoubledividend_times; dividend_times.push_back(0.5); vectordoubledividend_yields; dividend_yields.push_back(0.2); // cout"Binomial Tree American Call: "option_price_call_American_binomial(S,X,r,sigma,time,steps)endl; cout"option price "option_price_call_American_proportional_dividends_binomial(S,X,r,sigma,time,no_steps,dividend_times,dividend_yields)endl; // cout"option price call European finite diff implicit "option_price_call_european_finite_diff_implicit(S,X,r,sigma,time,no_S_steps,no_t_steps)endl; // cout"option price put European finite diff implicit "option_price_put_european_finite_diff_implicit(S,X,r,sigma,time,no_S_steps,no_t_steps)endl; // cout"option price call American finite diff explicit "option_price_call_American_finite_diff_explicit(S,X,r,sigma,time,no_S_steps,no_t_steps)endl; // cout"option price put American finite diff explicit "option_price_put_American_finite_diff_explicit(S,X,r,sigma,time,no_S_steps,no_t_steps)endl; system("pause"); }
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