| 基于二叉树模型期权定价的矩阵形式算法 |
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| 引用本文： | 覃思乾.基于二叉树模型期权定价的矩阵形式算法[J].广西师范学院学报(自然科学版),2006,23(1):26-30. |
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| 作者姓名： | 覃思乾 |
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| 作者单位： | 玉林师范学院,数学与计算机科学系,广西,玉林,537000 |
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| 基金项目： | 广西新世纪十百千人才工程基金 |
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| 摘 要： | 二叉树模型是使用范围最广的期权定价方法之一.该文根据期权定价的二叉树模型思想,从矩阵的角度考虑二叉树模型的期权定价,给出了一种基于二叉树模型期权定价的新方法———矩阵形式算法,并通过实例说明了其应用.
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| 关 键 词： | 二叉树模型 矩阵 欧式期权 美式期权 |
| 文章编号： | 1002-8743（2006）01-0026-05 |
| 收稿时间： | 2005-11-21 |
| 修稿时间： | 2005年11月21 |
Matrix Form Algorithm Based on Option Pricing with Two-binomial Tree Model |
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| QIN Si-qian.Matrix Form Algorithm Based on Option Pricing with Two-binomial Tree Model[J].Journal of Guangxi Teachers Education University:Natural Science Edition,2006,23(1):26-30. |
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| Authors: | QIN Si-qian |
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| Institution: | Department of Mathematics and Computer Science, Yulin Teachers College, Yulin 537000, China |
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| Abstract: | Two-binomial tree model is one of the most popular methods used in option pricing. This article , based on the idea of two-binomial tree model for option pricing and the reflection on it from the angel of matrix , puts forward a new method based on the option pricing with two-binomial tree model -- matrix form algorithm, and illustrates its application with living examples. |
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| Keywords: | two-binomial tree model matrix European option American option |
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