| 欧式期权定价的二叉树方法中的等价鞅测度严格构造及其应用 |
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| 引用本文： | 张丕一.欧式期权定价的二叉树方法中的等价鞅测度严格构造及其应用[J].青岛大学学报(自然科学版),2006,19(3):1-6,17. |
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| 作者姓名： | 张丕一 |
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| 作者单位： | 青岛大学,数学科学学院,青岛,266071 |
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| 摘 要： | 文中在（Ω，F）上严格构造了与概率测度等价的鞅测度，并导出了期权定价公式；进一步给出利用F分布查表计算期权定价的公式。
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| 关 键 词： | 二叉树 等价鞅测度 期权定价 F分布 |
| 文章编号： | 1006-1037（2006）03-0001-06 |
| 收稿时间： | 2006-08-04 |
| 修稿时间： | 2006-08-04 |
Formation of Equavalent Martingale Measure on Pricing of European Options in Binomial Tree Model and Its Application |
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| ZHANG Pei-yi.Formation of Equavalent Martingale Measure on Pricing of European Options in Binomial Tree Model and Its Application[J].Journal of Qingdao University(Natural Science Edition),2006,19(3):1-6,17. |
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| Authors: | ZHANG Pei-yi |
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| Institution: | Department of Mathematics, Qingdao University, Qingdao 266071, China |
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| Abstract: | In binomial model,people attempt to give a measure Q equavilent to probality P,but,up to now,People always make a mistake to think that a probality distribution series in measure P is the "Q".Here we have notonly pointed this fault,but also we have srictly formated a new one.Furtherly,We proved that V_t is a martingale in this new "Q" which led to the formula of pricing of european options.Besides,We also give these formulas some improvments,which make almost everyone can calculate the price conviniently. |
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| Keywords: | binomial tree equavalent martimgale measure expection price F distribution |
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