欧式期权定价的二叉树方法中的等价鞅测度严格构造及其应用

Formation of Equavalent Martingale Measure on Pricing of European Options in Binomial Tree Model and Its Application

文中在(Ω,F)上严格构造了与概率测度等价的鞅测度,并导出了期权定价公式;进一步给出利用F分布查表计算期权定价的公式。

In binomial model, people attempt to give a measure Q equavilent to probality P, but, up to now, People always make a mistake to think that a probality distribution series in measure P is the ＂Q＂. Here we have notonly pointed this fault, but also we have srictly formated a new one. Furtherly,We proved that V, is a martingale in this new ＂Q＂ which led to the formula of pricing of european options. Besides ,We also give these formulas some improvments,which make almost everyone can calculate the price conviniently.