[VBA ] 如何應用二分逼近法和count結合?

看板Visual_Basic作者ppgame (虎紋蜜瓜)時間8年前 (2016/12/31 10:48)推噓0(0推 0噓 0→)

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先附上式子 Function BS_call_difference(S, K, r, T, call_price, sigma) d1 = (Log(S / K) + (r + 0.5 * sigma ^ 2) * T) / (sigma * Sqr(T)) d2 = d1 - sigma * Sqr(T) Sum = S * Application.NormSDist(d1) - K * Exp(-r * T) * Application.NormSDist(d2) BS_call_difference = Sum - call_price End Function ======================================================================= Function Bisection_BS_call(S, K, r, T, call_price) tolerance = 10 ^ (-6) down_limit = 0 up_limit = 1 Count = 0 mid_point = (down_limit + up_limit) / 2 Count = Count + 1 Do While Count < 100 And Abs(BS_call_difference(S, K, r, T, call_price, mid_point)) > tolerance If BS_call_difference(S, K, r, T, call_price, down_limit) * BS_call_difference(S, K, r, T, call_price, mid_point) < 0 Then up_limit = mid_point ElseIf BS_call_difference(S, K, r, T, call_price, up_limit) * BS_call_difference(S, K, r, T, call_price, mid_point) < 0 Then down_limit = mid_point End If mid_point = (down_limit + up_limit) / 2 Loop Bisection_BS_call = mid_point End Function ======================================================================== 這個式子是要透過二分逼近法的應用套在black&scholes來計算出選擇權的波動度我的作法是先用BS_call_difference來做二分逼近法的前置再把BS_call_difference套進Bisection_BS_call來使用可是把這個式子套進數字後，一直都跳出value來程式也沒有跑出偵錯，所以也不知道從何修起加上老師說要加入 count起始值要設為0，每一圈迴圈要將count=count+1 最後一行的Bisection_BS_call 傳回值要區分兩種情形：count>=100 (傳回-1)與其他 ( 傳回mid_point) 這段我也不曉得該放在哪個位置有對這方面了解的朋友能幫個忙嗎? 弄兩個禮拜都想不出來，不想拖過年啦 -- ※ 發信站: 批踢踢實業坊(ptt.cc), 來自: 114.44.191.230 ※ 文章網址: https://www.ptt.cc/bbs/Visual_Basic/M.1483152490.A.9AD.html