考虑随机因素的二项式期权定价模型

Binomial option pricing model considering stochastic factors

将随机因素引入到二项式期权定价(CRR)模型中,从而建立了随机的二项式期权定价(SCRR)模型,并给出了单阶段及多阶段利率相同和不相同的情况下欧式期权的计算公式,证明了著名的CRR公式是其一个特例。

The mathematical model of binomial option pricing with stochasticity was established by the introduction of stochastic factor into the model of binomial option pricing. And the computation formulas of European option under certain conditions, with same or different interest rate of single stage and multistage, were given. It is proved that the formula of binomial option pricing is a special case of European option formulas.