全隐式有限差分欧式看跌期权定价代码 function price=euputimpl(s0,K,r,T,sigma,smax,ds,dt) m=round(smax/ds) ds=smax/m n=round(T/dt) dt=T/n matval=zeros(m+1,n+1) vets=linspace(0,smax,m+1) veti=0:m vetj=0:n matval(:,n+1)=max(K-vets,0) matval(1,:)=K*exp(-r*dt*(n-vetj)) matval(m+1,:)=0 a=0.5*(r*dt*veti-sigma^2*dt*(veti.^2)) b=1+sigma^2*dt*(veti.^2)+r*dt c=-0.5*(r*dt*veti+sigma^2*dt*(veti.^2)) coeff=diag(a(3:m),-1)+diag(b(2:m))+diag(c(2:m-1),1) [L,U]=lu(coeff) aux=zeros(m-1,1) for j=n:-1:1 aux(1)=-a(2)*matval(1,j) matval(2:m,j)=U\(L\(matval(2:m,j+1)+aux)) end price=interp1(vets,matval(:,1),s0) 全隐式有限差分美式看跌期权定价代码