#include <math.h>#include <iostream.h>#include <fstream.h>#define E 2.71828182845953581496int main(){float N[40][10];int i,j;float r;//无风险连续利率float b;//波动率float S,X;//股票当前价格,交割价格.float T;//到期时间float d1,d2;float Nd1,Nd2;ifstream fin("table.txt"); //table的数据为://http://www.programfan.com/blog/article.asp?id=7288 for(i=0;i<40;i++)for(j=0;j<10;j++)fin>>N[i][j];//输入正态分布表cout<<"Enter r,b,S,X,T\n";cin>>r>>b>>S>>X>>T;d1=(log(S/X)/log(E)+(r+b*b/2)*T)/b/sqrt(T);d2=(log(S/X)/log(E)+(r-b*b/2)*T)/b/sqrt(T); //d2=d1-b*sqrt(T);cout<<d1<<" "<<d2<<endl;Nd1=N[(int)(10*d1)][(int)(100*d1)%10]+0.5;Nd2=N[(int)(10*d2)][(int)(100*d2)%10]+0.5;cout<<"期权的价格为:"<<S*Nd1-X*pow(E,-r*T)*Nd2<<endl;}

评论