随机参数二叉树期权定价方法及其模拟研究

Random Binominal Option Pricing Model and Simulation

本文将股票波动性随机变化的因素考虑到二叉树期权定价模型中,得到了可以用数值计算方法实现的一个期权定价方法,该公式比传统二叉树模型更能反映股票波动的异方差性。以五粮液认购权证与五粮液认沽权证为样本,运用马尔科夫链蒙特卡罗方法对其进行了模拟分析,并与B-S模型进行了比较。

In this paper, we make a revision for the CRR-RB option pricing model based on the fact that stock volatility is variable, and we get a new option pricing formula which can be calculated by computation method. The new formula reflects the fluctuation of stock volatility. We finally verify our model using the data of the Five-Grain Liquor call warrant and put warrant in Chinese stock market. We offer in-depth analysis on the implementation of the formula, adopting Hastings-Metropolis algorithm and Monte-Carlo numerical integration of importance sampling for computing the formula.