삼항트리, FDM(유한차분법), 몬테칼로시뮬레이션 VBA 코드 자료

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삼항트리, FDM(유한차분법), 몬테칼로시뮬레이션 VBA 코드 자료입니다.

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본문내용

Sub trinomial_Tree_Ecall()
Dim s As Double
Dim K As Double
Dim r As Double
Dim T As Double
Dim N As Double
Dim dt As Double
Dim u As Double
Dim d As Double
Dim pu, pm, pd As Double
Dim vol As Double
Dim i, j As Integer
Dim st() As Double
Dim Value() As Double

s = Range("c4")
K = Range("c5")
r = Range("c6")
vol = Range("c7")
T = Range("c8")
N = Range("c9")

dt = T / N
Range("c10") = dt

u = Exp(vol * (3 * dt) ^ 0.5)
d = 1 / u
pu = (dt / (12 * vol)) ^ 0.5 * (r - vol ^ 2 / 2) + 1 / 6
pm = 2 / 3

pd = -(dt / (12 * vol)) ^ 0.5 * (r - vol ^ 2 / 2) + 1 / 6

Range("c11") = u
Range("c12") = d
Range("c13") = pu
Range("c14") = pm
Range("c15") = pd

참고 자료

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