Re: [公告] 有關明天選擇權的作業!!!

看板CCUfinGrad93作者 (CCK)時間20年前 (2005/04/12 01:18), 編輯推噓9(9推 0噓 5→)
留言14則, 4人參與, 最新討論串4/5 (看更多)
Function simulation(s, m, t, v, n, Num) dt = t / n drift = m * dt vol = v * Sqr(dt) For i = 1 To Num st = s cr = 0 cr2 = 0 For j = 1 To n s1 = st st = st * Exp(drift + vol * Application.NormSInv(Rnd())) r = Log(st / s1) cr = cr + r cr2 = cr2 + r ^ 2 Next std = Sqr(cr2 / (n - 1) - cr ^ 2 / (n * (n - 1))) * Sqr(n) Sum = Sum + st Sumr = Sumr + cr Sumstd = Sumstd + std Next simulation = Sumstd / Num'can be shown as "mean of prices(Sum/Num)","mean of returns(Sumr/Num)", or "mean of STD(Sumstd/Num)" End Function 參考一下~這是我的結果!! 模擬3000個path: Mean of prices 42.63790603 Mean of returns 0.155677164 Mean of sigma(std) 0.299791742 好像蠻接近的!!! -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 220.229.89.24
→
220.229.89.24 04/12, , 1F
直接看平均股價,一年報酬率經複利其實已達19.74%
220.229.89.24 04/12, 1F
推
218.171.144.6 04/12, , 2F
r = Log(st / s1)......原來是這東西搞鬼...哈
218.171.144.6 04/12, 2F
推
220.143.214.13 04/12, , 3F
晉凱 請問cr=0 cr2=0是什麼ㄋ不好意思 ^^我想聽
220.143.214.13 04/12, 3F
推
220.229.89.24 04/12, , 4F
模擬一次結束變數讓他歸零~那兩變數為算標準差之用
220.229.89.24 04/12, 4F
推
140.123.216.195 04/12, , 5F
雖然我不知到在幹嗎..不能用最後一期股價求
140.123.216.195 04/12, 5F
→
140.123.216.195 04/12, , 6F
期間報酬率嗎？...不用在中間算一堆報酬率吧？
140.123.216.195 04/12, 6F
推
218.171.144.6 04/12, , 7F
第一個問題...為何 cr=log(st/s1)
218.171.144.6 04/12, 7F
推
218.171.144.6 04/12, , 8F
第二個問題...為何裡面迴圈的平均cr最後不需除天撮옠
218.171.144.6 04/12, 8F
推
220.229.89.24 04/12, , 9F
給定的報酬率為0.15,但其實期間報酬率超過0.19~~
220.229.89.24 04/12, 9F
→
220.229.89.24 04/12, , 10F
0.15則要切割成250天去累計求得!
220.229.89.24 04/12, 10F
推
218.171.144.6 04/12, , 11F
坤展不愧是學長.....的確是0.15......
218.171.144.6 04/12, 11F
→
220.229.89.24 04/12, , 12F
我的cr是累計報酬率(就是加總啦)
220.229.89.24 04/12, 12F
→
220.229.89.24 04/12, , 13F
除以天數要再年化,所以沒除,這點上課就覺得怪怪的ꤠ
220.229.89.24 04/12, 13F
推
140.123.216.195 04/12, , 14F
靠...我還是狀況外....>_<
140.123.216.195 04/12, 14F
‣ 更多 cckai 的文章
文章代碼(AID): #12Mh5moF (CCUfinGrad93)
‣ 更多 cckai 的文章
文章代碼(AID): #12Mh5moF (CCUfinGrad93)