| Lattice方法在期权定价中的应用研究 |
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| 引用本文： | 王植祥 姚俭. Lattice方法在期权定价中的应用研究[J]. 上海理工大学学报, 1998, 20(1): 22-25 |
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| 作者姓名： | 王植祥 姚俭 |
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| 作者单位： | 上海交通大学管理学院 |
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| 摘 要： | 首先分析了连续随机游走的离散化主参数ｕ、ｄ，ｐ应满足的条件，然后在此基础他期权的定价定理，同时举例分析了此方法与Ｂｌａｃｋ－Ｓｈｏｌｅｓ公式的差异。
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| 关 键 词： | Lattice 风险中性 看涨期权 看跌期权 期权定价 |
Application of Lattice method in option pricing |
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| Wang Zhixiang Yao Jian Yang Hui Wang Huanchen. Application of Lattice method in option pricing[J]. Journal of University of Shanghai For Science and Technology, 1998, 20(1): 22-25 |
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| Authors: | Wang Zhixiang Yao Jian Yang Hui Wang Huanchen |
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| Abstract: | The discretization of continuous random walk and the conditions that u, d and p should satisfy are discussed, and the theory of option pricing by Lattice method is studied. The examples to compare the results of the Lattice method with that of the Black Scholes for mula are presented. |
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| Keywords: | Lattice risk neutrality put option call option |
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