不流动资产的定价与股权分置改革研究 - 金融工程

附 录
total_R=linspace(0,0,5);
total_JW=linspace(0,0,5);
total_JWw=linspace(0,0,5);
E_R=linspace(0,0,5);
E_JW=linspace(0,0,5);
E_JWw=linspace(0,0,5);
F=linspace(0,0,5);
for j=1:5
w(j)
for i=1:num
Vt(1)=0.4233;
Wt=1;
for k=1:N(t)
e1=normrnd(0,sqrt(dt));
dv=d1*Vt(k)*e1;
Vt(k+1)=Vt(k)+dv;
end
JWt(j)=log(Wt)+y*u1*T(t)+(u1^2/(6*d1^2*Vt(N(t)+1)^2))*(exp(3*d1^2*T(
t))-1)+(y^2/(2*d1^2))*Vt(N(t)+1)^2*(exp(d1^2*T(t))-1); % 全 流 动 时 的 效
用
JWwt(j)=log(Wt)-p^2*u2^2*T(t)/(2*D2(d)^2*(1-p^2)^2)+((1-2*p^2)/((1-p
^2)^2))*(y*u1*T(t)+(u1^2/(6*d1^2*Vt(N(t)+1)^2))*(exp(3*d1^2*T(t))-1)
+(y^2/(2*d1^2))*Vt(N(t)+1)^2*(exp(d1^2*T(t))-1))+(u1*u2*p^3/(D2(d)*(
1-p^2)^2))*((exp(d1^2*T(t))-1)/(Vt(N(t)+1)*d1^2))+(u2*p^3*y/(D2(d)*(
1-p^2)^2))*Vt(N(t)+1)*T(t)-w(j)^2*D2(d)^2*T(t)/2;
81