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实物期权的三叉树定价模型 被引量：20

Trinary-Tree Pricing Model of Real Options
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摘要 The numerical computation of real option value is very important in the evaluating of venture investment.We develops a trinomial tree pricing model of the real option,proves that the equation of real option value under trinomial tree model is approximate to Black-Scholes equation.It is obvious that trinomial model is excelled than binomial tree model in precision and calculation from an example. The numerical computation of real option value is very important in the evaluating of venture investment. We develops a trinomial tree pricing model of the real option, proves that the equation of real option value under trinomial tree model is approximate to Black-Scholes equation.It is obvious that trinomial model is excelled than binomial tree model in precision and calculation from an example.
作者 丁正中 曾慧
机构地区 浙江工商大学 浙江工商大学统计与计算科学学院
出处 《统计研究》 CSSCI 北大核心 2005年第11期25-28,共4页 Statistical Research
关键词 风险投资 实物期权 Black-Scholes期权定模型 三叉树模型 二叉树模型
分类号 F830.59 [经济管理—金融学] F830.9 [经济管理—金融学]
  • 相关文献

参考文献8

  • 1Cox JC, Ross, and Rubinstein M. Option pricing : a simplified approach[J]. Journal of Finance Economies, 1979,7 : 229-264.
  • 2Black Fischer and Myron Scholes. The pricing of options and corporate liabilities[J] .Journal of political Economy, 1973,81,637- 654.
  • 3Kamrad B., Ritchken p. Multinominal approximating model for options with k states variables[J]. Management science, 1991,37 : 1460-1652.
  • 4Boyal pp. A lattice framework for option pricing with two state variables[J]. Journal of Financial and Quantitative Analysis, 1988,23 : 1 - 23.
  • 5Tian Y. A modified lattice approach to option pricing[J]. Journal of Future Marbets, 1993,13:563 - 577.
  • 6Derivatives-The theory and practice of financial engineering,Paul Wilmot[M].New York:McGraw-Hill,1992.
  • 7谢赤.一个依赖于挠度与峭度的三项式期权定价模型[J].系统工程理论方法应用,2000,9(3):209-216. 被引量：9
  • 8谢赤.不变方差弹性(CEV)过程下障碍期权的定价[J].管理科学学报,2001,4(5):13-20. 被引量：19

二级参考文献14

  • 1[1]Merton R C. The theory of rational option pricing[J]. Bell Journal of Economics and Management Science,1973,(4):141-183
  • 2[2]Black F, Scholes M. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973, (81):637-659
  • 3[3]Cheuk T H F, Vorst T C F. The constant elasticity of variance option pricing model[J]. Journal of Portfolio Mana-gement, 1996, (22):15-17
  • 4[4]Cox J C. Notes on option pricing I: constant elasticity of variance diffusions[M]. Unpubl. Note Stanford Univ., 1975
  • 5[5]Cox J C, Ross S A. The valuation of options for alternative stochastic processes[J]. Journal of Financial Econimics, 1976, (3): 145-166
  • 6[6]Duffic D. Dynamic asset pricing theory[M]. Princetion, NJ:Princeton Unive. Press, 1996
  • 7[7]Boyle P P. Option valuation using a three-jump process[J]. International Options Journal, 1986, (3):7-12
  • 8[8]Boyle P P. A lattice framework for option pricing with two state variables[J]. Journal of Financial and Quantitative Analysis,1988,(35):1-12
  • 9[9]Kamrad B, Ritchken P. Multionmial approximating models for options with K-state variables[J]. Management Science, 1991, (37): 1640-1652
  • 10[10]Tian Y. A modified lattice approach to option pricing[J]. Journal of Futures Markets, 1993, (13): 563-577

共引文献21

同被引文献136

引证文献20

二级引证文献39

统计研究
2005年 第11期

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