一类特殊欧式期权定价模型的Matlab算法

Matlab Algorithm of A Specil European Option Pricing Model

对于股票价格在布朗运动和泊松运动共同作用下、存在交易费用和连续红利的欧式看涨期权定价模型,针对其微分方程解和数值解的复杂性,研究了其期权价格解析式解的Matlab算法,二叉树、三叉树数值解的Matlab算法,从而大大简化了期权定价的过程。最后通过实例研究,对比三种算法所得结果的差异性,并分析了模型中各个参数对期权定价结果的影响程度,从而可为各类新型期权的产生提供一定的理论支持。

In this paper,for a kind of European call option pricing model with stock price’s Brownian and Poisson process,transaction cost and continuous dividend,aiming at the complexity of its differential equation solution and numerical solution,the Matlab algorithm of option price’s analytical solution,the Matlab algorithm of Binomial tree,Triple tree model’s numerical solution are studied,Thus the process of option pricing is greatly simplified.Finally,through the example study,comparing the difference of three kinds of algorithm results,the influence degree for option pricing results of every parameter in this model is analyzed,which can provide certain technology support to the production of all kinds of new options.