| 多因素回望期权的三叉树解法 |
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| 引用本文： | 乔克林,曹振江,乔小宁.多因素回望期权的三叉树解法[J].延安大学学报(自然科学版),2013(4):12-14. |
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| 作者姓名： | 乔克林 曹振江 乔小宁 |
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| 作者单位： | 延安大学数学与计算机科学学院,陕西延安716000 |
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| 基金项目： | 陕西省教育厅自然科学基金（2013JK0576）;陕西省高水平大学建设专项资金资助项目（2012SXTS07） |
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| 摘 要： | 讨论了有交易费用下且在CEV和B＆P共同作用下回望期权模型定价公式的数值解的参数取法，在新型二叉树定价模型的基础上利用原点矩和中心矩的关系得出新型三叉树定价模型数值解的参数取法，用不同种方法得出参数，利于分析数值解的准确性。
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| 关 键 词： | 回望期权 参数 三叉树 |
Multifactor Look Back Options of Trigeminal Tree Method |
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| QIAO Ke-lin,CAO Zhen-jiang,QIAO Xiao-ning.Multifactor Look Back Options of Trigeminal Tree Method[J].Journal of Yan'an University(Natural Science Edition),2013(4):12-14. |
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| Authors: | QIAO Ke-lin CAO Zhen-jiang QIAO Xiao-ning |
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| Institution: | ( College of Mathematics and Computer Science, Yanan University, Yanan 716000, China) |
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| Abstract: | Discussed under transaction costs and in looking back to the model option pricing formula under the function and the parameters of the numerical solution method, on the basis of the new type of binary tree pricing model using moments and the relationship between the central moment in determining the trigeminal tree pricing model the parameters of the numerical solution, with a different kind of method to obtain parameters, to analyze the accuracy of the numerical solution. |
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| Keywords: | look back options parameters trigeminal tree |
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