HW7

鮑欣禾 112071469
筆記
 LatticeEurCallDivP vs. LatticeAmCallDivP

import numpy as np

def LatticeEurCallDivP(S0, X, r, T, sigma, N, div):

deltaT = T / N
u = np.exp(sigma * np.sqrt(deltaT))
d=1/u
p = (np.exp(r * deltaT) - d) / (u - d)
lattice = np.zeros((N + 1, N + 1))

for j in range(N + 1):

lattice[N, j] = max(0, S0 * (u ** j) * (d ** (N - j)) * (1 - div) - X)

for i in range(N - 1, -1, -1):

for j in range(i + 1):
lattice[i, j] = np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j])

price = lattice[0, 0]
return price, lattice
 LatticeEurCallDivP vs. LatticeAmCallDivP

np.set_printoptions(precision=2, suppress=True)
price, lattice =LatticeEurCallDivP(50, 50, 0.02, 1, 0.2, 10, 0.1)
print("Option price:", price)
print("\nLattice:\n",lattice)
 LatticeEurCallDivP vs. LatticeAmCallDivP
import numpy as np

def lattice_am_call_div_p(S0, X, r, T, sigma, N, div, tau):

deltaT = T / N
u = np.exp(sigma * np.sqrt(deltaT))
d=1/u
p = (np.exp(r * deltaT) - d) / (u - d)
lattice = np.zeros((N + 1, N + 1))

for j in range(N + 1):

lattice[N, j] = max(0, S0 * (u ** j) * (d ** (N - j)) * (1 - div) - X)

for i in range(N - 1, tau - 1, -1):

for j in range(i + 1):
lattice[i, j] = max(S0 * u ** j * d ** (i - j) * (1 - div) - X,
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))

for i in range(tau - 1, -1, -1):

for j in range(i + 1):
lattice[i, j] = max(S0 * u ** j * d ** (i - j) * (1 - div) - X,
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))

price = lattice[0, 0]
return price, lattice
 LatticeEurCallDivP vs. LatticeAmCallDivP

price, lattice = lattice_am_call_div_p(50, 50, 0.02, 1, 0.2, 10, 0.1,3)

print("Option price:", price)
print("\nLattice:\n",lattice)
 多少股利美式才會 early
exercise
# Test different dividend levels
dividends = np.linspace(0.01, 0.1, 10) # Dividends from 1% to 10%
for div in dividends:
price, _ = lattice_am_call_div_p(100, 100, 0.05, 1, 0.2, 100, div, 50)
if price > 0: # If option price is greater than 0, early exercise occurs
print(f"With dividend {div:.2%}, early exercise occurs.")
break
 LatticeEurPutDivP
import numpy as np

def LatticeEurPutDivP(S0, X, r, T, sigma, N, div):

deltaT = T / N
u = np.exp(sigma * np.sqrt(deltaT))
d=1/u
p = (np.exp(r * deltaT) - d) / (u - d)
lattice = np.zeros((N + 1, N + 1))

for j in range(N + 1):

lattice[N, j] = max(0, X - S0 * (u ** j) * (d ** (N - j)) * (1 - div))

for i in range(N - 1, -1, -1):

for j in range(i + 1):
lattice[i, j] = np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j])

price = lattice[0, 0]
return price, lattice
 LatticeEurPutDivP
np.set_printoptions(precision=2, suppress=True)
price, lattice = LatticeEurPutDivP(50, 50, 0.02, 1, 0.2, 10, 0.1)
print("Option price:", price)
print("\nLattice:\n", lattice)
 LatticeEurCallDivD vs. LatticeAmCallDivD
import numpy as np

def LatticeEurCallDivD(S0, X, r, T, sigma, N, D, tau):

deltaT = T / N
u = np.exp(sigma * np.sqrt(deltaT))
d=1/u
p = (np.exp(r * deltaT) - d) / (u - d)
S0a = S0 - D * np.exp(-r * tau * deltaT)
lattice = np.zeros((N + 1, N + 1))

for j in range(N + 1):

lattice[N, j] = max(0, S0a * (u ** j) * (d ** (N - j)) - X)

for i in range(N - 1, tau - 1, -1):

for j in range(i + 1):
lattice[i, j] = max(S0a * u ** j * d ** (i - j) - X,
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))
 LatticeEurCallDivD vs. LatticeAmCallDivD

for i in range(tau - 1, -1, -1):

for j in range(i + 1):
lattice[i, j] = max(S0a * u ** j * d ** (i - j) - X + D * np.exp(-r * (tau - i) * deltaT),
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))

price = lattice[0, 0]
return price, lattice

np.set_printoptions(precision=2, suppress=True)
price, lattice =LatticeEurCallDivD(50, 50, 0.02, 1, 0.2, 10, 5, 3)
print("Option price:", price)
print("\nLattice:\n", lattice)
 LatticeEurCallDivD vs. LatticeAmCallDivD
import numpy as np

def LatticeAmCallDivD(S0, X, r, T, sigma, N, D, tau):

deltaT = T / N
u = np.exp(sigma * np.sqrt(deltaT))
d=1/u
p = (np.exp(r * deltaT) - d) / (u - d)
S0a = S0 - D * np.exp(-r * tau * deltaT)
lattice = np.zeros((N + 1, N + 1))

for j in range(N + 1):

lattice[N, j] = max(0, S0a * (u ** j) * (d ** (N - j)) - X)

for i in range(N - 1, tau - 1, -1):

for j in range(i + 1):
lattice[i, j] = max(S0a * u ** j * d ** (i - j) - X,
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))
 LatticeEurCallDivD vs. LatticeAmCallDivD

for i in range(tau - 1, -1, -1):

for j in range(i + 1):
lattice[i, j] = max(S0a * u ** j * d ** (i - j) - X + D * np.exp(-r * (tau - i) * deltaT),
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))
lattice[i, j] = max(lattice[i, j], S0a * (u ** j) * (d ** (i - j)) - X) # Early exercise

price = lattice[0, 0]
return price, lattice

price, lattice = LatticeAmCallDivD(50, 50, 0.02, 1, 0.2, 10, 5, 3)

print("Option price:", price)
print("\nLattice:\n", lattice)
 LatticeEurPutDivD
import numpy as np

def lattice_eu_put_div_d(S0, X, r, T, sigma, N, D, tau):

deltaT = T / N
u = np.exp(sigma * np.sqrt(deltaT))
d=1/u
p = (np.exp(r * deltaT) - d) / (u - d)
S0a = S0 - D * np.exp(-r * tau * deltaT)
lattice = np.zeros((N + 1, N + 1))

for j in range(N + 1):

lattice[N, j] = max(0, X - S0a * (u ** j) * (d ** (N - j)))

for i in range(N - 1, tau - 1, -1):

for j in range(i + 1):
lattice[i, j] = max(X - S0a * u ** j * d ** (i - j),
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))
 LatticeEurPutDivD
for i in range(tau - 1, -1, -1):
for j in range(i + 1):
lattice[i, j] = max(X - S0a * u ** j * d ** (i - j) - D * np.exp(-r * (tau - i) * deltaT),
np.exp(-r * deltaT) * (p * lattice[i + 1, j + 1] + (1 - p) * lattice[i + 1, j]))

price = lattice[0, 0]
return price, lattice

price, lattice = lattice_eu_put_div_d(50, 50, 0.02, 1, 0.2, 10, 5,3)

print("Option price:", price)
print("\nLattice:\n",lattice)
 TriEurPut
import numpy as np
import pandas as pd

def tri_eur_put(S0, X, r, T, sigma, N, lamda):

deltaT = T / N
u = np.exp(lamda * sigma * np.sqrt(deltaT))
d=1/u
pu = 1 / (2 * lamda**2) + (r - (sigma**2 / 2)) * np.sqrt(deltaT) / (2 * lamda * sigma)
pm = 1 - 1 / (lamda**2)
pd = 1 - pu - pm
lattice = np.zeros((N + 1, 2 * N + 1))

for j in range(1, N + 2):

lattice[N, j - 1] = max(0, X - S0 * (d**(N - j + 1)))

for j in range(N + 2, 2 * N + 2):

lattice[N, j - 1] = max(0, X - S0 * (u**(j - N - 1)))
 TriEurPut
for i in range(N - 1, -1, -1):
for j in range(1, 2 * i + 2):
lattice[i, j - 1] = np.exp(-r * deltaT) * (
pd * lattice[i + 1, j - 1] +
pm * lattice[i + 1, j] +
pu * lattice[i + 1, j + 1]
)

price = lattice[0, 0]
return price, lattice

price, lattice = tri_eur_put(100, 100, 0.05, 1, 0.2, 100, 0.5)

df_lattice = pd.DataFrame(lattice)
print("Price:", price)
print("Lattice:")
print(df_lattice)
TriEurPut
TriEurPut
 TriAmPut
import numpy as np
import pandas as pd

def tri_am_put(S0, X, r, T, sigma, N, lamda):

deltaT = T / N
u = np.exp(lamda * sigma * np.sqrt(deltaT))
d=1/u
pu = 1 / (2 * lamda**2) + (r - (sigma**2 / 2)) * np.sqrt(deltaT) / (2 * lamda * sigma)
pm = 1 - 1 / (lamda**2)
pd = 1 - pu - pm
lattice = np.zeros((N + 1, 2 * N + 1))

for j in range(1, N + 2):

lattice[N, j - 1] = max(0, X - S0 * (d**(N - j + 1)))

for j in range(N + 2, 2 * N + 2):

lattice[N, j - 1] = max(0, X - S0 * (u**(j - N - 1)))
 TriAmPut
for i in range(N - 1, -1, -1):
for j in range(1, 2 * i + 2):
exercise_value = X - S0 * (d**(i - j + 1)) # 立即行权价值
continuation_value = np.exp(-r * deltaT) * (pd * lattice[i + 1, j - 1] +
pm * lattice[i + 1, j] +
pu * lattice[i + 1, j + 1]) # 持有到期的期权价值
lattice[i, j - 1] = max(exercise_value, continuation_value)
price = lattice[0, 0]
return price, lattice

price, lattice = tri_am_put(80, 100, 0.05, 1, 0.2, 100, 0.5)

df_lattice = pd.DataFrame(lattice)
print("Price:", price)
print("Lattice:")
print(df_lattice)
TriAmPut
TriAmPut
 CompBlsBinTri.m
for i=(1:N)
[LatticeC1(i),tree1] = LatticeEurCall(S0,X,r,T,sigma,i);
[LatticeC2(i),tree2] = TriEurCall(S0,X,r,T,sigma,i,lamda);
end
plot(1:N, ones(1,N)*BlsC);
hold on; 4.8

4.6
plot(1:N, LatticeC1);
4.4

plot(1:N, LatticeC2); 4.2

3.8

3.6

3.4

3.2
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