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中级

美式期权定价

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中级参考 代码结构已给出,请填写 ____ 处
def solve(____):
    q = (____ + r - d) / (____)
    discount = ____ / (____ + r)
    prices = [[____ for _ in range(____)] for _ in range(____)]
    for i in range(____):
        ST = S * (u ** (____)) * (____)
        prices[n][i] = max(____)
    for j in range(____):
        for i in range(____):
            ST = S * (u ** (____)) * (____)
            hold = discount * (q * prices[j + ____][i] + (____ - q) * prices[j + ____][i + ____])
            exercise = max(____)
            prices[j][i] = max(____)
    return {"____": n, "____": round(____)}

示例

输入
solve(100, 100, 1.2, 0.8, 0.05, 2)
期望输出
{'期数': 2, '美式看跌价格': 6.5759}
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