binomial_tree.py中第45-51行:
for i in range(n - 1, -1, -1):
for j in range(i + 1):
option_tree[j, i] = max(
(p1 option_tree[j, i + 1] + p2 option_tree[j + 1, i + 1]) discount,
cp (underlying_tree[j, i] - k),
0
)
此处折现因子仅对期权的持有价值进行了折现,没有对该节点情况下期权应有的价值进行折现,是否改为?:
for i in range(n - 1, -1, -1):
for j in range(i + 1):
option_tree[j, i] = max(
(p1 * option_tree[j, i + 1] + p2 * option_tree[j + 1, i + 1]),
cp * (underlying_tree[j, i] - k),
0
) * discount