想請教一下程式碼的問題 - 期貨

By Christine
at 2009-03-06T13:02
at 2009-03-06T13:02
Table of Contents
我想詢問版上的高手
有用VBA寫過股價走勢的嗎
想詢問VBA程式碼該如何寫
Public Function mcasiancall(s, k, r, sg, t, n, m)
Dim st()
ReDim st(n)
st(0) = s
dt = t / n
temp2 = 0
For i = 1 To m
temp1 = 0
For j = 1 To n
randn = Application.WorksheetFunction.NormInv(Rnd, 0, 1)
st(j) = st(j - 1) * Exp((r - sg ^ 2 / 2) * dt + sg * Sqr(dt) * randn)
temp1 = temp1 + st(j)
Next
temp2 = temp2 + max(temp1 / n - k, 0)
Next
mcasiancall = Exp(-r * t) * temp2 / m
End Function
以上是買權賣權的隨機價格
那如果我想改成大盤股價走勢
也就是參數換成成長率跟波動率
我要怎麼改 比較簡單
謝謝
--
有用VBA寫過股價走勢的嗎
想詢問VBA程式碼該如何寫
Public Function mcasiancall(s, k, r, sg, t, n, m)
Dim st()
ReDim st(n)
st(0) = s
dt = t / n
temp2 = 0
For i = 1 To m
temp1 = 0
For j = 1 To n
randn = Application.WorksheetFunction.NormInv(Rnd, 0, 1)
st(j) = st(j - 1) * Exp((r - sg ^ 2 / 2) * dt + sg * Sqr(dt) * randn)
temp1 = temp1 + st(j)
Next
temp2 = temp2 + max(temp1 / n - k, 0)
Next
mcasiancall = Exp(-r * t) * temp2 / m
End Function
以上是買權賣權的隨機價格
那如果我想改成大盤股價走勢
也就是參數換成成長率跟波動率
我要怎麼改 比較簡單
謝謝
--
Tags:
期貨
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