public static double[,] intrinsicvalues(double S0, double K, double vol, double T, int N, double r, double del, bool type, bool optiontype)
{
double[,] underlyvalues = GetValues.UnderlyingValues.underlyingvalues(S0, K, vol, T, N, r, del, type, optiontype);
//the probabilities using during the discount process
double pu = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[4];
double pm = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[5];
double pd = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[6];
//assign intrinsic values
double[,] intrinsic = new double[N + 1, 2 * N + 1];
for (int j = 0; j < underlyvalues.GetLength(1); j++)
{
int i = underlyvalues.GetLength(0) - 1; //let the last column same as the underlying price
if (type) //call
{
intrinsic[i, j] = Math.Max(underlyvalues[i, j] - K, 0);
}
else//put
{
intrinsic[i, j] = Math.Max(K - underlyvalues[i, j], 0);
}
}
double disc = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[7];
//use the formula to calculate other intrinstic prices
for (int i = underlyvalues.GetLength(0) - 2; i >= 0; i--)
{
for (int j = N - i; j <= N + i; j++)
{
intrinsic[i, j] = disc * (pu * intrinsic[i + 1, j + 1] + pm * intrinsic[i + 1, j] + pd * intrinsic[i + 1, j - 1]);
}
}
return(intrinsic);
}
public static double[,] amer(double S0, double K, double vol, double T, int N, double r, double del, bool type, bool optiontype)
{
double[,] intrinsic = IntriValues.intrinsicvalues(S0, K, vol, T, N, r, del, type, optiontype);
double[,] american = new double[N + 1, 2 * N + 1];
//the probabilities using during the discount process
double pu = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[4];
double pm = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[5];
double pd = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[6];
double disc = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[7];
//use the same price as intrinstic price in the last row
for (int j = 0; j < intrinsic.GetLength(1); j++)
{
int i = intrinsic.GetLength(0) - 1;
american[i, j] = intrinsic[i, j];
}
// Option price is the larger one of intrinstic prices and discounted prices
double[,] underlyvalues = UnderlyingValues.underlyingvalues(S0, K, vol, T, N, r, del, type, optiontype);
for (int i = intrinsic.GetLength(0) - 2; i >= 0; i--)
{
for (int j = N - i; j <= N + i; j++)
{
american[i, j] = disc * (pu * american[i + 1, j + 1] + pm * american[i + 1, j] + pd * american[i + 1, j - 1]);
if (type)//call
{
american[i, j] = Math.Max(underlyvalues[i, j] - K, american[i, j]);
}
else//put
{
american[i, j] = Math.Max(K - underlyvalues[i, j], american[i, j]);
}
}
}
return(american);
}
public static double[,] underlyingvalues(double S0, double K, double vol, double T, int N, double r, double del, bool type, bool optiontype)
{
double[,] underlyvalues = new double[N + 1, 2 * N + 1];
double dt = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[0]; //delta t
double dx = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[1]; //delta x
double v = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[2];
double edx = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[3];
underlyvalues[0, N] = S0;//let the first row be the price S0
//during the discount process
for (int i = 1; i <= N; i++)
{
for (int j = N - i; j <= N + i; j++)
{
underlyvalues[i, j] = S0 * Math.Pow(edx, j - N);
}
}
return(underlyvalues);
}
