| 二叉树模型的测度变换及应用 |
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| 引用本文： | 柳向东,何远兰.二叉树模型的测度变换及应用[J].暨南大学学报,2010,31(1). |
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| 作者姓名： | 柳向东 何远兰 |
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| 作者单位： | 暨南大学统计学系,广东,广州,510632 |
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| 基金项目： | 国家社会科学基金项目(07BGJ007);;广东省自然科学基金资助项目(980287) |
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| 摘 要： | 二叉树模型被广泛地应用于离散时间的金融衍生物的定价之中,该模型的本质是随机游动,即在某个x状态时,以p的概率向上跳一步,以1-p的概率向下跳一步.类似于连续情形的测度变换,获得了二叉树模型的一个测度变换定理和推论.给出了该变换定理在金融衍生物定价中的应用.
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| 关 键 词： | 二叉树模型 测度变换 衍生物定价 |
The measure transformation of the binomial model and its application |
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| LIU Xiang-dong,HE Yuan-lan.The measure transformation of the binomial model and its application[J].Journal of Jinan University(Natural Science & Medicine Edition),2010,31(1). |
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| Authors: | LIU Xiang-dong HE Yuan-lan |
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| Institution: | Department of Statistics;Jinan University;Guangzhou 510632;China |
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| Abstract: | The binomial tree model is intensively used in pricing financial derivatives in discrete time.Essentially,this model is a random walk model which,when at the state x,moves one step up with probability p or one step down with probability 1-p.The measure transformation law of the binomial tree model and its deduction are obtained,analogous to continuous model.The result obtained is applied in a pricing problem. |
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| Keywords: | the binomial model measure transformation pricing the derivatives |
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