| 有限时期障碍期权的三项式期权定价模型 |
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| 引用本文： | 吴素琴,姚劢.有限时期障碍期权的三项式期权定价模型[J].安庆师范学院学报(自然科学版),2007,13(3):9-10,16. |
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| 作者姓名： | 吴素琴 姚劢 |
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| 作者单位： | 中国人民解放军炮兵学院,基础部数学教研室,安徽,合肥,230031;安徽大学数学与计算科学学院,安徽,合肥,230009 |
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| 摘 要： | 本文研究了有限时期障碍期权的三项式定价模型,对具有三种变化的股票价格模型进行了讨论,推广了CRR二项式定价模型,推出了某一假定证券市场中有限时期障碍期权的三项式期权定价公式。
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| 关 键 词： | 障碍期权 三项式期权定价公式 概率论 鞅测度 |
| 文章编号： | 1007-4260（2007）03-0009-02 |
| 修稿时间： | 2007-01-10 |
Trinomial Option Pricing Model of Barrier Option in Finite Periods |
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| WU Su-qin,YAO Mai.Trinomial Option Pricing Model of Barrier Option in Finite Periods[J].Journal of Anqing Teachers College(Natural Science Edition),2007,13(3):9-10,16. |
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| Authors: | WU Su-qin YAO Mai |
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| Institution: | 1.Math.Room, Dept. of Basic Courses, Artillery Academy of P.L.A, Hefei 230031; 2. Anhui University, Hefei 230009, China |
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| Abstract: | A trinomial option pricing model for finite periods is studied in this paper.One of the models with three possible states is discussed which extends the binomial model of Cox-Ross-Rubinstein.By the theory of probability,we show the formula of the trinomial option pricing model of barrier option in finite periods in a stock market. |
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| Keywords: | probability theory trinomial option pricing model barrier option martingale measure |
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