关于欧式看涨期权的模糊二叉树模型

A Fuzzy Binomial Tree Model with European Call Options Pricing

在二叉树定价模型的发展过程中,人们虽然已在其中加入许多现实因素,如股价发生崩盘,或股票在期权执行期间发放红利等,但对股价运动的不确定性却没有很好的方法进行描述。模糊二叉树模型可以对股价运动的不确定性进行描述,而且可通过求解期望值的方法得出清晰的结果以便决策者进行决策。单期情况下,模型可以求出数值解;多期情况下,则可通过模糊模拟的方法得到结果。

This paper presents a fuzzy binomial tree model to price European call options with the application of credibility theory in an uncertain environment. This model can simulate the uncertainty of stock price movement and get crisp result by calculating expected value for decision - making. We can get numerical result in one period model,the simulation for fuzzy multiperiod binomial pricing model is also provided.