摘要
本文讨论了二叉树期权市场的无套利条件,引入有随机因素存在的二叉树欧式期权定价模型,并推出单阶段、多阶段情况下欧式期权的计算公式,证明了多阶段市场未定权益的重要性质.
This paper examined the no-arbitrage condition in binomial tree option market. Binomial tree European option pricing model with stochastic factor was established, and the computation formulas of European option of single stage and multistage were given. It was proved that the important property of contingent claim in multistage market.
出处
《经济数学》
2006年第4期360-363,共4页
Journal of Quantitative Economics
基金
湖南省自然科学基金资助(编号:04JJ3076)
中南大学文理基金资助(编号:0502011)
关键词
二叉树
无套利
随机变量
Q-鞅
Binomial tree, no arbitrage, stochastic variable, Q-martingale
