| 支付红利的欧式期权二叉树模型的矩阵算法 |
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| 引用本文： | 金凌辉,郭丽莎.支付红利的欧式期权二叉树模型的矩阵算法[J].甘肃联合大学学报(自然科学版),2007,21(5):19-22. |
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| 作者姓名： | 金凌辉 郭丽莎 |
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| 作者单位： | 1. 华中师范大学,数学与统计学学院,武汉,430079
2. 中南民族大学,计算机科学学院,武汉,430074 |
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| 摘 要： | 二叉树方法是期权定价中一种重要的数值方法,本文分别对连续支付红利、按已知红利率支付红利和按已知红利数额支付红利三种情况进行讨论,给出了欧式期权二叉树模型的矩阵形式算法.
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| 关 键 词： | 支付红利 欧式期权 二叉树模型 矩阵 |
| 文章编号： | 1672-691X（2007）05-0019-04 |
| 修稿时间： | 2007-04-23 |
The Matrix Form Algorithm for Binomial Model of European Option of Dividend-Paying |
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| JIN Ling-hui,GUO Li-sha.The Matrix Form Algorithm for Binomial Model of European Option of Dividend-Paying[J].Journal of Gansu Lianhe University :Natural Sciences,2007,21(5):19-22. |
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| Authors: | JIN Ling-hui GUO Li-sha |
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| Institution: | 1.Department of Mathematical and Statistics,Central China Normal University,Wuhan 430079,China;2.School of Computer Science,South China Minority University,Wuhan 430074,China |
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| Abstract: | Being a method of option pricing,binomial tree methods(BTM) is very important.In this article,the authors give the matrix form algorithm for binomial model of European option under three kinds situation: paying a continuous dividend yield,paying dividend which yield is known,paying dividend which dollar amount is known. |
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| Keywords: | dividend-paying European option binomial model matrix |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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