美式期权的三叉树定价模型

A trinomial tree methods for pricing American options

美式期权不同于欧式期权,美式期权可以在到期日以前任意时间操作。一般而言,美式期权定价的解析解是很难得到的,二叉树方法是一个比较好的数值计算的方法,运用三叉树的模型得到了美式期权的一种数值计算方法,并且给出实例说明三叉树模型要比二叉树模型在精确性方面更好,收敛速度更快。

An American option differs from a European one. An American option can be exercised at any time up to the maturity date. In general, there is unfortunately no analytical solution to the American option problem. Binomial tree pricing model is a better numerical method. A trinomial tree pricing model of the American option is used It is obvious that trinomial model is excelled than binomial tree model in precision and calculation from an example.