| 二叉树模型在股票及股票期权定价中的应用 |
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| 引用本文： | 郭尊光,仉志余.二叉树模型在股票及股票期权定价中的应用[J].太原师范学院学报(自然科学版),2011,10(1):35-37. |
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| 作者姓名： | 郭尊光 仉志余 |
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| 作者单位： | 1. 中北大学理学院,山西太原030051;太原工业学院理学系,山西太原030008
2. 太原工业学院理学系,山西太原,030008 |
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| 摘 要： | 期权是持有人在未来确定时间,按确定价格向出售方购入或售出一定数量和质量的原生资产的协议,但他不承担必须购入或售出的义务.二叉树模型是金融衍生物定价的常用方法之一.文章介绍了通过复制技巧推导出了期权定价公式,基于Matlab编程解决了比较复杂的多时段期权定价的实际问题.
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| 关 键 词： | 二叉树模型 复制技巧 Matlab 期权定价 |
Binomial Model in the Application of Stock and Stock Options Pricing |
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| Guo Zunguang,Zhang Zhiyu.Binomial Model in the Application of Stock and Stock Options Pricing[J].Journal of Taiyuan Normal University:Natural Science Edition,2011,10(1):35-37. |
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| Authors: | Guo Zunguang Zhang Zhiyu |
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| Institution: | Guo Zunguang1,2 Zhang Zhiyu2(1.School of Science,North University of China,Taiyuan 030051,2.Department of Science,Taiyuan Institute of Technology,Taiyuan 030008,China) |
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| Abstract: | Option is a kind of agreement that the holder will purchase or sell a certain quantity and quality of the original assets from the seller at the determined price and the determined future time,but the holder does not assume the obligation to purchase or sell necessarily.Binomial model is one of the common methods of financial derivatives pricing.Based on MATLAB programming,we derived the options pricing formula by replication techniques and solved the more complicated problems of more time options pricing i... |
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| Keywords: | binomial model replication techniques Matlab options pricing |
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