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Oil bond code - PowerPoint PPT Presentation

HW7

HW7. 100071021 ???. Oil Bond. Oil Bond - code. S = 30; r = 0.02; sigma = 0.06; T = 1; N = 10; deltaT = T/N; u = exp ( sigma * sqrt ( deltaT ) ); d = 1/u; p = ( exp( r * deltaT ) - d ) / ( u - d );. for i = 0 : N oilp(i+1) = S * u^(N-i) * d^(i); if oilp (i+1)<25

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Oil bond code - PowerPoint PPT Presentation

HW7