股票期权二叉树定价 excel VBA程序

股票期权二叉树定价 excel VBA程序股票期权二叉树定价 excel VBA程序 Sub 期权定价() Dim i As Long '将参数权入的的权权权相权的权量 s0 = Worksheets(1).Cells(1, 2)x = Worksheets(1).Cells(2, 2)r = Worksheets(1).Cells(3, 2)s = Worksheets(1).Cells(4, 2)t = Worksheets(1).Cells(5, 2)n = Worksheets(1).Cells(6, 2)'生成表格 Worksheets(1)....

股票期权二叉树定价 excel VBA程序 Sub 期权定价() Dim i As Long '将参数权入的的权权权相权的权量 s0 = Worksheets(1).Cells(1, 2)x = Worksheets(1).Cells(2, 2)r = Worksheets(1).Cells(3, 2)s = Worksheets(1).Cells(4, 2)t = Worksheets(1).Cells(5, 2)n = Worksheets(1).Cells(6, 2)'生成表格 Worksheets(1).Cells(1, 4) = "期数" Worksheets(1).Cells(2, 4) = "权权;年," Worksheets(1).Cells(3, 4) = "上行乘数" Worksheets(1).Cells(4, 4) = "下行乘数" Worksheets(1).Cells(5, 4) = "股票价格" Worksheets(1).Cells(n + 6, 4) = "权行价格" Worksheets(1).Cells(n + 7, 4) = "上行率概" Worksheets(1).Cells(n + 8, 4) = "下行率概" Worksheets(1).Cells(n + 9, 4) = "权入期权价格" '合相权权元格并 Set rr1 = Range("D5") For i = 1 To n Set rr1 = Union(Range("D" & (5 + i)), rr1) Next rr1.Select With Selection .HorizontalAlignment = xlGeneral .VerticalAlignment = xlBottom .WrapText = False .Orientation = 0 .AddIndent = False .IndentLevel = 0 .ShrinkToFit = False .ReadingOrder = xlContext .MergeCells = True End With '权置格式居中 With Selection .HorizontalAlignment = xlCenter .VerticalAlignment = xlCenter .WrapText = False .Orientation = 0 .AddIndent = False .IndentLevel = 0 .ShrinkToFit = False .ReadingOrder = xlContext .MergeCells = True End With '合相权权元格并 Set rr2 = Range("D" & (n + 9))For i = 1 To n Set rr2 = Union(Range("D" & (n + 9 + i)), rr2) Next rr2.Select With Selection .HorizontalAlignment = xlGeneral .VerticalAlignment = xlBottom .WrapText = False .Orientation = 0 .AddIndent = False .IndentLevel = 0 .ShrinkToFit = False .ReadingOrder = xlContext .MergeCells = True End With '权置格式居中 With Selection .HorizontalAlignment = xlCenter .VerticalAlignment = xlCenter .WrapText = False .Orientation = 0 .AddIndent = False .IndentLevel = 0 .ShrinkToFit = False .ReadingOrder = xlContext .MergeCells = True End With '权算表格相权容内 '期数 Worksheets(1).Cells(1, 5) = 0For i = 1 To n Worksheets(1).Cells(1, 5 + i) = iNext '权权;年, Worksheets(1).Cells(2, 5) = 0For i = 1 To n Worksheets(1).Cells(2, 5 + i) = t / (12 * n) * i Next '上行乘数 u = Exp(s * (t / (12 * n)) ^ 0.5)Worksheets(1).Cells(3, 5) = u '下行乘数 d = 1 / u Worksheets(1).Cells(4, 5) = d '股票价格 For i = 1 To n + 1 Worksheets(1).Cells(4 + i, 4 + i) = 50 * d ^ (i - 1) Next For i = 1 To n For j = i To n Worksheets(1).Cells(4 + i, 5 + j) = Worksheets(1).Cells(4 + i, 4 + j) * u Next Next '权行价格 Worksheets(1).Cells(n + 6, 5 + n) = x'上行率、下行率概概 p = ((r * t) / (12 * n) + 1 - d) / (u - d)Worksheets(1).Cells(n + 7, 5 + n) = pWorksheets(1).Cells(n + 8, 5 + n) = 1 - p'权入期权价格 '最后一期的期权价权 For i = 1 To n + 1 q = Worksheets(1).Cells(4 + i, 5 + n) - xIf q > 0 Then Worksheets(1).Cells(n + 8 + i, 5 + n) = qElse Worksheets(1).Cells(n + 8 + i, 5 + n) = 0End If Next '由后往前推各期的价权 For ii = n To 1 Step -1 '列 For jj = 1 To ii '行 If Worksheets(1).Cells(n + 8 + jj, 4 + ii + 1) > 0 Or Worksheets(1).Cells(n + 8 + jj + 1, 4 + ii + 1) > 0 Then Worksheets(1).Cells(n + 8 + jj, 4 + ii) = (p * Worksheets(1).Cells(n + 8 + jj, 4 + ii + 1) + (1 - p) * Worksheets(1).Cells(n + 8 + jj + 1, 4 + ii + 1)) / (1 + (r / 12) * (t / n)) Else Worksheets(1).Cells(n + 8 + jj, 4 + ii) = 0End If Next Next End Sub 效果如下,

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股票期权二叉树定价 excel VBA程序

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