摘要
对服从马尔可夫链的波动率进行分析 ,通过二叉树方法计算美式期权的价值 ,避免复杂的随机波动率模型 ,改进了常数波动率的结果 ,获得与真实结果比较接近的数值解。
In this paper, by analyzing the stochastic volatility following the Markov chain, the valuation of American option based on binomial probability tree was given, that improved the results of constant volatility model, and got the closer result to the real price
出处
《现代电子技术》
2005年第2期31-33,共3页
Modern Electronics Technique
关键词
随机波动率
MARKOV链
二叉树
停时
stochastic volatility
Markov chain
binomial probability tree
time stop
