| 三叉树模型下标的资产期权定价 |
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| 引用本文： | 郭子君,张朝清.三叉树模型下标的资产期权定价[J].华南农业大学学报(社会科学版),2003,2(2):61-65. |
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| 作者姓名： | 郭子君 张朝清 |
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| 作者单位： | 1. 华南农业大学,理学院,广东,广州,510642
2. 广东省环境保护学校,广东,广州,510655 |
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| 摘 要： | 讨论了一般三叉树模型期权定价公式,它是二叉树模型的推广.证明了三叉树模型下期权价格所满足的方程是Black-Scholes方程的近似.
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| 关 键 词： | 三叉树模型 期权 Black-Scholes期权定价方程 风险中性概率 随机微分方程 |
| 文章编号： | 1672-0202(2003)02-0062-05 |
| 修稿时间： | 2002年12月25 |
The Option Pricing under Multiplicative Triple Tree Model |
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| GUO Zi jun,ZHANG Chao qing.The Option Pricing under Multiplicative Triple Tree Model[J].Journal of South China Agricultural University:Social Science Edition,2003,2(2):61-65. |
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| Authors: | GUO Zi jun ZHANG Chao qing |
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| Institution: | GUO Zi jun 1,ZHANG Chao qing 2 |
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| Abstract: | A discussion on the problem about asset option pricing is made, and the option pricing formula under the general triple tree model is obtained. It is proved that the equation of option value under triple tree model is approximate to Black Scholes equation. |
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| Keywords: | triple tree model option black scholes equation risk neutral probability stochastic differential equations |
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