摘要
研究了有限周期买入期权的三项式定价模型,对每一投资期内具有3种变化的股票价格模型进行了讨论,是现存的CRR二项式定价模型的推广.利用概率论的理论,推导出了某一假定证券市场中有限周期买入期权的三项式期权定价公式.
A trinomial option pricing model for finite periods is studied in this paper, between two consecutive periods the relative price changes have three possible states, so it extends the theory of Cox_Ross_Rubinstein binomial option price model. Through the theory of probability, we show the formula of the trinomial option pricing model for finite periods in a stock market.
出处
《北方交通大学学报》
CSCD
北大核心
2004年第3期43-45,共3页
Journal of Northern Jiaotong University
基金
国家自然科学基金资助项目(2002RC039)
