基于量子二项式模型的实物期权估值算法

The Algorithm for Real-Options Evaluation Based on Quantum Binomial Model

研究分析二项式期权定价模型,发现陈泽乾的量子模型新公式与经典CRR公式是互补存在的,有着各自不同的适用范围;进而提出基于量子二项式模型的实物期权估值算法,该算法有机地结合了量子模型新公式和经典CRR公式;最后给出了一个数值示例。

This paper introduces the quantum model of binomial option pricing. It shows that the new binomial option pricing formula,proposed by Zeqian Chen,is reasonable in view of project life cycle. This new formula is complementary with the classic C-R-R binomial option pricing formula,and completes the bi- nomial model. Taking advantage of the two binomial option pricing formulas, this paper puts forward an algorithm for real--options evaluation. At last, one numerical example is presented.