美式期权定价MATLAB代码4页.docx

调用函数代码function Price=AmOption(S0,K,T,r,M,type,sigma) dt = T/M; u=exp(sqrt(dt)*sigma); d=1/u;%p = (exp(r*dt)-d)/(u-d); S=zeros(M+1,M+1);S(1,1)=S0; for j=1:M for i=0:j S(i+1,j+1)= S0*u(j-i)*di; end end V=zeros(M+1,M+1); for i=0:M switch type case call V(i+1,M+1)=max(S(i+1,M+1)-K,0); case put V(i+1,M+1)=max(K-S(i+1,M+1),0); endend for j=M-1:-1:0