double EuroBewerter::max_call(double t, double T, double* X0, int D,
double Strike, double r, double delta, double sigma) {
T = T - t;
double summe = 0;
for (int d = 0; d < D; ++d) {
double d_minus = (log(X0[d] / Strike)
+ (r - delta - sigma * sigma / 2.) * T) / (sigma * sqrt(T));
double d_plus = d_minus + sigma * sqrt(T);
Polynom ganz;
double eins[1] = { 1. };
ganz.set(eins, 1);
double I;
double max = -100000;
double min = 10000000;
for (int dd = 0; dd < D; ++dd)
if (dd != d) {
// printf("\nd_plus %f, d_minus %f,", d_plus, d_minus);
// printf("verschiebefaktor %f\n",
// sigma * sqrt(T)
// + log(X0[d] / X0[dd]) / (sigma * sqrt(T)));
// double pp[18] = { 0.5, 0.3960985, 0, -0.061485, 0, 0.007456, 0,
// -5.84946E-4, 0, 2.920034E-5, 0, -9.15823E-7, 0,
// 1.740319E-8, 0, -1.826093E-10, 0, 8.10495E-13 };
double pp[10] = { 0.50000000000009, 0.38567951086190133, 0,
-0.05010672697589501, 0, 0.004103597701237448, 0,
-1.631010612321749E-4, 0, 2.4428290978202304E-6 };
Polynom p;
p.set(pp, 10);
double v = sigma * sqrt(T)
+ log(X0[d] / X0[dd]) / (sigma * sqrt(T));
max = v > max ? v : max;
min = v < min ? v : min;
p.verschieben(v);
// printf("I innen%f\n",integralExpQ(&p, maxi(-d_plus, -5. + min), 5. - max));
ganz.multiply_with(&p);
}
I = integralExpQ(&ganz, maxi(-d_plus, -5. + min), 5. - max);
// printf("I aussen%f\n", I);
summe += X0[d] * exp(-delta * T) / sqrt(2 * 3.141592654) * I;
}
double prod = 1;
for (int d = 0; d < D; ++d) {
double d_minus = (log(X0[d] / Strike)
+ (r - delta - sigma * sigma / 2.) * T) / (sigma * sqrt(T));
prod *= (1 - (1 - cnd(-d_minus)));
}
double zu = -Strike * exp(-r * T) + Strike * exp(-r * T) * prod;
double ergebnis = (summe + zu) * exp(-r * t); //return erf(0.1);
double e1 = 0;
for (int d = 0; d < D; ++d)
e1 = maxi(e1, call(t, T, X0[d], Strike, r, delta, sigma));
return maxi(ergebnis, e1);
}
