- proc iml;
- start price_c (r,sigma,t,s,x);
- d1=(log(s/x)+(r+sigma##2/2)*t)/(sigma*sqrt(t));
- d2=d1-sigma*sqrt(t);
- c=s*cdf('normal',d1)-x*exp(-r*t)*cdf('normal',d2);
- return(c);
- finish price_c;
- c = price_c(.05, .3, 1/12, 100, 120);
- print c;
- quit;
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楼主: DanL
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2828
3
SAS期权定价 程序求助 |
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硕士生 20%
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5论坛币
最佳答案 | |
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Be still, my soul: the hour is hastening on
When we shall be forever with the Lord. When disappointment, grief and fear are gone, Sorrow forgot, love's purest joys restored. |
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