[1]陈勇,叶茂.二元树形结构法定价期权的技巧[J].深圳大学学报理工版,2006,23(4):373-376.
 CHEN Yong and YEMao.Improvement of using binomial tree method in pricing options[J].Journal of Shenzhen University Science and Engineering,2006,23(4):373-376.
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二元树形结构法定价期权的技巧()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第23卷
期数:
2006年4期
页码:
373-376
栏目:
土木建筑工程
出版日期:
2006-10-30

文章信息/Info

Title:
Improvement of using binomial tree method in pricing options
文章编号:
1000-2618(2006)04-0373-04
作者:
陈勇1叶茂2
1)深圳大学经济学院,深圳518060
2)电子科技大学计算机科学与工程学院,成都610054
Author(s):
CHEN Yong1 and YEMao2
1) College of Economics Shenzhen University Shenzhen 518060 P. R. China
2) School of Computer Science and Engineering University of Electronic Science and Techno logy of China, Chengdu 610054 P. R. China
关键词:
金融衍生品衍生品定价期权期权定价树形结构法二元树
Keywords:
financial derivativesderivative pricing optionoption pricing binomial tree multinomial tree
分类号:
F 830.59;TB 115
文献标志码:
A
摘要:
二元树形法是期权定价基本数值方法之一.从期权的内在收益函数(payoff)会降低二元树的计算精度出发,研讨二元树形法定价期权的几种改善精度的方法,如Black-Scholes调整法和外推法(extrapolation)等.实证表明使用这些方法会提高二元树形法的计算效率.
Abstract:
The Binomial tree method is one of the basic methods of pricing options. Since the payoff functions in financial market are often not smooth, the rate o f convergence o f pricing by the binomial model is reduced. The improvements on the accuracy of pricing options by binomial tree method, such as Black-scholes adjustment and extrapolation, were presented and discussed in detail By using these techniques, the efficiency of computing in binomial method for pricing options can be significantly improved. Experimental results demostrate the effectivess of these improvements
更新日期/Last Update: 2015-06-26