| 四叉树期权定价的一个反例 |
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| 引用本文： | 刘玉玉,高凌云.四叉树期权定价的一个反例[J].佳木斯大学学报,2011,29(1):96-99. |
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| 作者姓名： | 刘玉玉 高凌云 |
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| 作者单位： | 暨南大学数学系; |
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| 基金项目： | 国家自然科学基金资助项目(10471065); 广东省自然科学基金资助项目(04010474) |
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| 摘 要： | 期权定价的方法有许多种,其中以二叉树图法最为直观与简单,它是标的资产价格连续时间模型的一种离散形式.从Kamiad B.开始又出现了许多对三叉树定价的研究,基于标的资产价格出现的不同可能性,本文对四叉树图进行了简单分析,并以一种特殊情况的四叉树为例证明了四叉树的期权定价并不是对所有的情况都成立.
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| 关 键 词： | 二叉树 期权 四叉树 |
The Contradiction of Option Pricing Based on Quadtree |
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| LIU Yu-yu,GAO Ling-yun.The Contradiction of Option Pricing Based on Quadtree[J].Journal of Jiamusi University(Natural Science Edition),2011,29(1):96-99. |
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| Authors: | LIU Yu-yu GAO Ling-yun |
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| Institution: | LIU Yu-yu,GAO Ling-yun(Department of Mathematics,Jinan University,Guangzhou 510632,China) |
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| Abstract: | There are many methods for option pricing,among which the most intuitive and convenient one is binomial tree model,a discrete form of continuous time model.From Kamiad B on,there are many researches about triple method.Because of many different possibilities of the option price,in this passage,quadtree was set as an example to prove that multi-branches tree is not suitable to every situation. |
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| Keywords: | binomial tree model option pricing quadtree |
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