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<p>新手求救,查了好久都不知道那出问题,算出来option总是不对,好心大侠帮忙看看:</p><p>Function lookback(initial, up, down, interest, periods, runs)<br/>&nbsp;&nbsp;&nbsp; Dim pricepath() As Double<br/>&nbsp;&nbsp;&nbsp; ReDim pricepath(periods + 1)<br/>&nbsp;&nbsp;&nbsp; <br/>&nbsp;&nbsp;&nbsp;&nbsp; <br/>&nbsp;&nbsp;&nbsp; 'risk-neutral probabilities<br/>&nbsp;&nbsp;&nbsp; piup = (interest - down) / (up - down)<br/>&nbsp;&nbsp;&nbsp; pidown = 1 - piup<br/>&nbsp;<br/>&nbsp;&nbsp;&nbsp; temp = 0<br/>&nbsp;<br/>&nbsp;For Index = 1 To runs<br/>&nbsp; 'generate path<br/>&nbsp; For i = 1 To periods<br/>&nbsp; pricepath(0) = initial<br/>&nbsp; pathprob = 1<br/>&nbsp; If Rnd &gt; pidown Then<br/>&nbsp;&nbsp;&nbsp;&nbsp; pricepath(i) = pricepath(i - 1) * up<br/>&nbsp;&nbsp;&nbsp;&nbsp; <br/>&nbsp;&nbsp;&nbsp;&nbsp; Else:<br/>&nbsp;&nbsp;&nbsp;&nbsp; pricepath(i) = pricepath(i - 1) * down<br/>&nbsp; End If<br/>&nbsp; <br/>&nbsp; Next i<br/>&nbsp; priceminimum = Application.Min(pricepath)<br/>&nbsp; callpayoff = Application.Max(pricepath(periods) - priceminimum, 0)<br/>&nbsp; <br/>&nbsp; temp = temp + callpayoff<br/>Next Index</p><p>lookback = (temp / interest ^ periods) / runs<br/>&nbsp; </p><p>End Function<br/>跪谢。。。。。。。。。。</p>
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