二叉树模型的参数估计

Parameter Estimation of Binomial Model

二叉树模型是期权定价中被广泛使用的模型之一,其参数估计对于期权定价具有重要影响.本文给出了一种二叉树模型参数估计方法,该方法克服了二叉树模型经典参数估计方法的缺陷,特别地,消除了主观概率设定对参数估计的影响.

Binomial model is one of widely used models,and its parameters have a great influence on option pricing.In this paper,a new parameter estimation is given for binomial model,which overcomes the fault of usual methods to estimate parameters of binomial models,especially,eliminate the influence of subjective probability.