?? doput.m
字號:
% DOPut.m
function P = DOPut(S0,X,r,T,sigma,Sb)
a = (Sb/S0)^(-1 + (2*r / sigma^2));
b = (Sb/S0)^(1 + (2*r / sigma^2));
d1 = (log(S0/X) + (r+sigma^2 / 2)* T) / (sigma*sqrt(T));
d2 = (log(S0/X) + (r-sigma^2 / 2)* T) / (sigma*sqrt(T));
d3 = (log(S0/Sb) + (r+sigma^2 / 2)* T) / (sigma*sqrt(T));
d4 = (log(S0/Sb) + (r-sigma^2 / 2)* T) / (sigma*sqrt(T));
d5 = (log(S0/Sb) - (r-sigma^2 / 2)* T) / (sigma*sqrt(T));
d6 = (log(S0/Sb) - (r+sigma^2 / 2)* T) / (sigma*sqrt(T));
d7 = (log(S0*X/Sb^2) - (r-sigma^2 / 2)* T) / (sigma*sqrt(T));
d8 = (log(S0*X/Sb^2) - (r+sigma^2 / 2)* T) / (sigma*sqrt(T));
P = X*exp(-r*T)*(normcdf(d4)-normcdf(d2) - ...
a*(normcdf(d7)-normcdf(d5))) ...
- S0*(normcdf(d3)-normcdf(d1) - ...
b*(normcdf(d8)-normcdf(d6)));
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