| Option Pricing Method in a Market Involving Interval Number Factors |
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| 作者姓名： | 尤苏蓉 |
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| 作者单位： | College of Science, Donghua University, Shanghai 200051 |
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| 摘 要： | IntroductionThe classical option pricing methods,Black-Scholespricing model and binomial tree model,give a price of anoption when all key inputs are given as deter ministicquantities.The Black-Scholes option pricing for mula givesthe unique price for a European vanilla option at ti metbased on the underlying stockStwith exercise priceXandexpiration periodt,T]be1]C=StN(d1)-Xe-r(T-t)N(d2)whered1=ln(St/X)+r+21σ2(T-t)σT-t,d2=d1-σT-tandσis the volatility.In this for mula,the key facto…
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| 关 键 词： | 市场价格 选择定价法 区间数 Black-Scholes定价规则 |
| 收稿时间： | 2004-09-07 |
Option Pricing Method in a Market Involving Interval Number Factors |
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| YOU Su-rong.Option Pricing Method in a Market Involving Interval Number Factors[J].Journal of Donghua University,2005,22(4):47-51. |
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| Authors: | YOU Su-rong |
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| Abstract: | The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed. |
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| Keywords: | interval number Black -Scholes pricing formula binomial tree model no-arbitrage |
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