excel表格怎么求期权二叉树

1.求vba的期权定价二叉树程序(有偿)

Function BinoptVal(iopt, iea, S, X, r, tyr, sigma, nstep)'Returns Binomial Option Value(ipot=1 for call,-1for put;'iea=1 for euro,=2 for amer)Dim delt, erdt, ermqdt, u, d, P, pstar, muDim i As Integer, j As IntegerDim vvec As Variant 'to be a vectorReDim vvec(nstep) 'know size of vector'caculate parametersdelt = tyr / nstep 'length of the time steperdt = Exp(r * delt) 'compounding factormu = 0u = Exp(mu * delt + sigma * Sqr(delt)) 'up multiplierd = Exp(mu * delt - sigma * Sqr(delt)) 'down multiplierP = (ermqdt - d) / (u - d) ' up probpstar = 1 - P 'down prob 'calculating vector of option values after n steps For i = 0 To nstep vvec(i) = Application.Max(iopt * (S * (u ^ i) * (d ^ (nstep - i)) - X), 0) Next i 'calculating conditional payoffs & discounting back step by step For j = nstep - 1 To 0 Step -1 For i = 0 To j vvec(i) = (P * vvec(i + 1) + pstar * vvec(i)) / erdt Next i Next j BinoptVal = vvec(0)End Function。

2.excel怎么做出期权greeks 图表

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3.求vba的期权定价二叉树程序(有偿)

Function BinoptVal(iopt, iea, S, X, r, tyr, sigma, nstep)

'Returns Binomial Option Value(ipot=1 for call,-1for put;

'iea=1 for euro,=2 for amer)

Dim delt, erdt, ermqdt, u, d, P, pstar, mu

Dim i As Integer, j As Integer

Dim vvec As Variant 'to be a vector

ReDim vvec(nstep) 'know size of vector

'caculate parameters

delt = tyr / nstep 'length of the time step

erdt = Exp(r * delt) 'compounding factor

mu = 0

u = Exp(mu * delt + sigma * Sqr(delt)) 'up multiplier

d = Exp(mu * delt - sigma * Sqr(delt)) 'down multiplier

P = (ermqdt - d) / (u - d) ' up prob

pstar = 1 - P 'down prob

'calculating vector of option values after n steps

For i = 0 To nstep

vvec(i) = Application.Max(iopt * (S * (u ^ i) * (d ^ (nstep - i)) - X), 0)

Next i

'calculating conditional payoffs & discounting back step by step

For j = nstep - 1 To 0 Step -1

For i = 0 To j

vvec(i) = (P * vvec(i + 1) + pstar * vvec(i)) / erdt

Next i

Next j

BinoptVal = vvec(0)

End Function

4.请教二叉树期权模型的有关问题

本文将实物期权理论引入R&D项目管理领域，以阶段门NPD模型为基础，探讨了应用二叉树期权定价模型评估研发项目价值的具体思路和步骤，并通过比较，证明了由于评估时采用不符合研发项目风险特点的高折现率，NPV法倾向于低估项目价值，这将影响企业 一种基于二叉树修正算法的经理股票期权估价模型 一种基于二叉树修正算法的经理股票期权估价模型 一种基于二叉树。

本文分析了西方主流的计算方法即美国财务会计准则委员会fasb123方法的缺陷，提出了一种经理股票期权的价值评估二叉树模型二叉树模型实际上是在用大量离散的小幅度二值运动来模拟连续的资产价格。得到每个结点的资产价格之后，就可以在二叉树模型中采用倒推定价法，从树型结构图的末端T时刻开始往回倒推，为期权定价二叉树模型是使用范围最广的期权定价方法之一.该文根据期权定价的二叉树模型思想，从矩阵的角度考虑二叉树模型的期权定价，给出了一种基于二叉树模型期权定价的新方法--矩阵形式算法，并通过实例说明了其应用。