新商品申请-亚式期权 (5)

v,nSteps,nSimulations,Slast,N2,Dividend ,a); delta=(delta_1-delta_2)/(ds);

if nargout==2 return end

Gamma=(delta_1-2*y+delta_2)/(0.5*ds)^2;

if nargout==3 return end

dv=0.01;

vega_1=AsianOption_AverageStrike(callputflag, s, T,r, v+dv,nSteps,nSimulations,Slast,N2,Dividend,a);

vega_2=AsianOption_AverageStrike(callputflag, s, T,r, v,nSteps,nSimulations,Slast,N2,Dividend,a);

Vega=(vega_1-vega_2);%已经使用每单(一天)位波动度百分比为分母; if nargout==4 return end

theta=r*y-delta*r*s-0.5*Gamma*v^2*s^2;

Theta=theta*1/245;%已经使用每单(一天)为百分比为分母;; if nargout==5 return end

dr=0.0001;

rho_1=AsianOption_AverageStrike(callputflag, s,

T,r+0.5*dr,v,nSteps,nSimulations,Slast,N2,Dividend ,a); rho_2=AsianOption_AverageStrike(callputflag, s,

T,r-0.5*dr,v,nSteps,nSimulations,Slast,N2,Dividend ,a); Rho=(rho_1-rho_2)/dr;

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