主要是想问下这个障碍90写在程序里应该怎么写,也就是说“如果股票价格低于90,自动到期无效”这个语句怎么写,谢谢
我改编成了if SVals<90
CVals(i)=0;
else
CVals(i) = max(SVals(i)-K,0);但结果不对,为什么呢
Consider a down-and-out call option with strike 115 and barrier 90 maturing in 9 months. Current spot price is 100. Volatility and riskless rate are 30% and 3%, respectively. Modify both binomial (smartlattice) and trinomial algorithms presented in class in order to price this option. The number of time steps is left to your discretion but whatever you decide should be supported by evidence of convergence. Based on your results, do you have any reason to prefer one algorithm over the other (think of accuracy and computation speed)?


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