为什么别人能得出结果我运行有问题啊,各位大神给看看吧
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教茜澈2E 楼主
restart:with(student): with(linalg):
>PayoffFollCEEO:=proc(V,D,IT,dV,dD,alpha,sigV,sigD,rhoVD,T1,T2,qUP,pUP,rho);
>p1:=pUP+sqrt((1-qUP)/(qUP))*sqrt(pUP*(1-pUP))*rho;
> p2:=pUP-sqrt((qUP)/(1-qUP))*sqrt(pUP*(1-pUP))*rho;
> alpha1:=(1-alpha);
> P:=(alpha1*V)/D;
> d:=dV-dD;
>sig:=sqrt(sigV^2+sigD^2-2*rhoVD*sigV*sigD);
> dT:=(T2-T1);
> q:=evalf(IT/D);
> f:=v->1/sqrt(2*Pi)*exp(-v^2/2);
> N1:=(v)->int(f(t),t=-infinity..v);
> h(w,p):=(1/(2*evalf(Pi)*sqrt(1-sqrt(T1/T2)^2)))*exp(-(w^2-2*sqrt(T1/T2)*w*p+p^2)/(2*(1-sqrt(T1/T2)^2)));
>N2a:=(e,m)->evalf(Doubleint(h(w,p),w=-infinity..e,p=-infinity..m));
>j(s,k):=(1/(2*evalf(Pi)*sqrt(1-sqrt((2*T1)/(T1+T2))^2)))*exp(-(s^2-2*sqrt((2*T1)/(T1+T2))*s*k+k^2)/(2*(1-sqrt((2*T1)/(T1+T2))^2)));
>N2b:=(i1,n)->evalf(Doubleint(j(s,k),s=-infinity..i1,k=-infinity..n));
>d1pp:=evalf((ln(J1*exp(-d*(T2-T1)))+(0.5*sig^2)*(T2-T1))/(sig*(sqrt(T2-T1))));
>d2pp:=evalf((ln(J1*exp(-d*(T2-T1)))-(0.5*sig^2)*(T2-T1))/(sig*(sqrt(T2-T1))));
>d1ps:=evalf((ln(J2*exp(-d*(T2-T1)))+(0.5*sig^2)*(T2-T1))/(sig*(sqrt(T2-T1))));
>d2ps:=evalf((ln(J2*exp(-d*(T2-T1)))-(0.5*sig^2)*(T2-T1))/(sig*(sqrt(T2-T1))));
>eq1:=J1*exp(-dV*(T2-T1))*N1(d1pp)-exp(-dD*(T2-T1))*N1(d2pp)-(q/p1)=0:
> P4:=fsolve(eq1,J1):
>eq2:=J2*exp(-dV*(T2-T1))*N1(d1ps)-exp(-dD*(T2-T1))*N1(d2ps)-(q/p2)=0:
> P3:=fsolve(eq2,J2):
> d1pca:=evalf((ln((P/P4)*exp(-d*T1))+T1*(sig^2/2))/(sig*sqrt(T1)));
> d2pca:=evalf((ln((P/P4)*exp(-d*T1))-T1*(sig^2/2))/(sig*sqrt(T1)));
>d1pcb:=evalf((ln((P/P3)*exp(-d*T1))+T1*(sig^2/2))/(sig*sqrt(T1)));
>d2pcb:=evalf((ln((P/P3)*exp(-d*T1))-T1*(sig^2/2))/(sig*sqrt(T1)));
>d1:=evalf((ln((P)*exp(-d*T2))+(0.5*sig^2)*T2)/(sig*sqrt(T2)));
>d2:=evalf((ln((P)*exp(-d*T2))-(0.5*sig^2)*T2)/(sig*sqrt(T2)));
>CA:=p1*alpha1*V*exp(-dV*T2)*N2a(d1pca,d1)-p1*D*exp(-dD*T2)*N2a(d2pca,d2)-IT*exp(-dD*T1)*N1(d2pca);
>CB:=p2*alpha1*V*exp(-dV*T2)*N2a(d1pcb,d1)-p2*D*exp(-dD*T2)*N2a(d2pcb,d2)-IT*exp(-dD*T1)*N1(d2pcb);
> C1:=qUP*CA+(1-qUP)*CB:
> print('PayoffFollowerEuro',C1);
> end;
这个程序为啥别人算PayoffFollowerEuro, 40114.93238,我怎么得出的是一堆积分啊,积分中间有这个值但是也不是40114,各位给看看咋回事啊
PayoffFollCEEO(1000000,120000,84000,0.15,0,0.6,0.90,0.23,0.15,0.5,3,0.45,0.40,0.90);
2014年03月30日 13点03分 1
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