matlab 套期保值,求教利用指数效用函数做期权套期保值的matlab程序

科技前沿 • 2025-03-17 07:22 • 阅读 50

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Qlw(M,n)=cfvw(n,ylw(M,n));

Quw(M,n)=cfvw(n,yuw(M,n));

end

miny0=min(yl0(M,1:M));maxy0=max(yu0(M,1:M));

minyw=min(ylw(M,1:M));maxyw=max(yuw(M,1:M));

t0=ceil((maxy0-miny0)/deltay)+1;tw=ceil((maxyw-minyw)/deltay)+1;

%求t=M*deltat时刻，最大NT区域的价值函数

II0=ones(M,t0);Q0=II0;Q1=II0;IIw=ones(M,tw);Qw=IIw;Q2=IIw;

%不带期权

for n=1:M

for t=1:t0

y=miny0+(t-1)*deltay;

if yl0(M,n)<=y<=yu0(M,n)

Q0(n,t)=cfv(n,y);

elseif yl0(M,n)>y

Q0(n,t)=exp(gama*R*(1+lamda)*S(M,n)*(yl0(M,n)-y))*Ql0(M,n);

else

Q0(n,t)=exp(gama*R*(lamda-1)*S(M,n)*(y-yu0(M,n)))*Qu0(M,n);

end

%带期权

for n=1:M

for t=1:tw

y=minyw+(t-1)*deltay;

if ylw(M,n)<=y<=yuw(M,n)

Qw(n,t)=cfvw(n,y);

elseif ylw(M,n)>y

Qw(n,t)=exp(gama*R*(1+lamda)*S(M,n)*(ylw(M,n)-y))*Qlw(M,n);

else

Qw(n,t)=exp(gama*R*(lamda-1)*S(M,n)*(y-yuw(M,n)))*Quw(M,n);

end

%依次用后向递推探测任一时刻的NT下界、NT上界以及最大NT区域内的价值函数

%不带期权

for m=(M-1):(-1):1

R1=exp(r*(M+1-m)*deltat);

for n=1:m

%NT下界

for t=1:t0

Q(t)=exp(gama*R1*(1+lamda)*t*deltay*S(m,n))*(p*Q0(n+1,t)+(1-p)*Q0(n,t));

end

[,l]=max(Q);

Ql0(m,n)=;yl0(m,n)=miny0+(l-1)*deltay;

clear ,y;

%NT上界

for t=1:t0

Q(t)=exp(gama*R1*(lamda-1)*(t0+1-t)*deltay*S(m,n))*(p*Q0(n+1,t)+(1-p)*Q0(n,t));

end

[,u]=max(Q);

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Qu0(m,n)=;yu0(m,n)=miny0+(u-1)*deltay;

clear ,y;

%最大NT区域的价值函数

for t=1:t0

y=miny0+(t-1)*deltay;

if yl0(m,n)<=y<=yu0(m,n)

Q1(n,t)=p*Q0(n+1,t)+(1-p)*Q0(n,t);

elseif yl0(m,n)>y

Q1(n,t)=exp(gama*R1*(1+lamda)*S(m,n)*(yl0(m,n)-y))*Ql0(m,n);

else

Q1(n,t)=exp(gama*R1*(lamda-1)*S(m,n)*(y-yu0(m,n)))*Qu0(m,n);

end

Q0=Q1;

end

%带期权

for m=(M-1):(-1):1

R1=exp(r*(M+1-m)*deltat);

for n=1:m

%NT下界

for t=1:tw

Q(t)=exp(gama*R1*(1+lamda)*t*deltay*S(m,n))*(p*Qw(n+1,t)+(1-p)*Qw(n,t));

end

[,l]=max(Q);

Qlw(m,n)=;ylw(m,n)=minyw+(l-1)*deltay;

clear ,l;

%NT上界

for t=1:tw

Q(t)=exp(gama*R1*(lamda-1)*(tw+1-t)*deltay*S(m,n))*(p*Qw(n+1,t)+(1-p)*Qw(n,t));

end

[,u]=max(Q);

Quw(m,n)=;yuw(m,n)=minyw+(u-1)*deltay;

clear Q,u;

%最大NT区域的价值函数

for t=1:tw

y=minyw+(t-1)*deltay;

if ylw(m,n)<=y<=yuw(m,n)

Q2(n,t)=p*Qw(n+1,t)+(1-p)*Qw(n,t);

elseif ylw(m,n)>y

Q2(n,t)=exp(gama*R1*(1+lamda)*S(m,n)*(ylw(m,n)-y))*Qlw(m,n);

else

Q2(n,t)=exp(gama*R1*(lamda-1)*S(m,n)*(y-yuw(m,n)))*Quw(m,n);

end

Qw=Q2;

end

clear tw t0 y Q0 Q1 Q2 Qw;

yl=ylw-yl0;yu=yuw-yu0;

matlab 套期保值,求教利用指数效用函数做期权套期保值的matlab程序

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