| 期权定价的树图逼近法及期权价格的静态比较分析 |
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| 引用本文： | 王宗润,陈晓红.期权定价的树图逼近法及期权价格的静态比较分析[J].系统工程,2004,22(6):64-67. |
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| 作者姓名： | 王宗润 陈晓红 |
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| 作者单位： | 中南大学,商学院,湖南,长沙,410083 |
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| 摘 要： | 树图逼近法在对B-S-M公式导出的过程中比较直观。容易理解。不仅能为欧式买权提供闭形式的解，而且在用数值方法解决更复杂的美式期权定价问题时，也能提供解。本文在对期权定价模型进行历史回顾的基础上。详细阐述欧式买权定价的树图逼近法，并给出算例比较二者的差异；静态比较分析了欧式买权价格及相应的经济含义。
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| 关 键 词： | Black-Scholes-Merton公式 树图逼近 套利 静态比较分析 |
| 文章编号： | 1001-4098(2004)06-0064-04 |
Option Pricing:Employing Binomial Tree to Approach B-S-M Formula and the Compared-Static-Stated Analysis |
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| WANG Zong-run,CHEN Xiao-hong.Option Pricing:Employing Binomial Tree to Approach B-S-M Formula and the Compared-Static-Stated Analysis[J].Systems Engineering,2004,22(6):64-67. |
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| Authors: | WANG Zong-run CHEN Xiao-hong |
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| Abstract: | On the base of the retrospection of option pricing, this paper gives the elaborate of employing binomial tree to (approach) B-S-M formula and one example is also given. On the other hand, as to the factors of affecting European option (price,) this article also offers a compared-static-state analysis of option price and the corresponding economic meanings. |
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| Keywords: | B-S-M Formula Binomial Tree Hedging Compared-Static-Stated Analysis |
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