| 离散时间期权定价模型中概率系数的确定 |
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| 引用本文： | 孙春燕. 离散时间期权定价模型中概率系数的确定[J]. 长江大学学报(社会科学版), 2002, 0(2) |
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| 作者姓名： | 孙春燕 |
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| 作者单位： | 荆州师范学院数学系 434020 |
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| 基金项目： | 国家自然科学基金资助项目(批准号 :70 0 71 0 1 2 ) |
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| 摘 要： | 在离散时间期权定价模型中 ,标的资产的市场价格在每一时点的变动常常有多种可能状态 ,因而确定每一种状态发生的概率是期权定价的关键 .本文探讨了离散时间二项式及三项式欧式期权定价模型中概率系数的确定 ,并利用该概率系数讨论了这类离散时间期权定价模型与Black—Scholes模型的关系
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| 关 键 词： | 离散时间期权定价模型 概率系数 二项式模型 三项式模型 Black—Scholes模型 |
DETERMINATION OF THE PROBABILITY COEFFICIENTS IN THEOPTION PRICING MODEL WITH DISCRETE TIME |
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| Sun Chunyan. DETERMINATION OF THE PROBABILITY COEFFICIENTS IN THEOPTION PRICING MODEL WITH DISCRETE TIME[J]. Journal of Yangtze University(Social Sciences), 2002, 0(2) |
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| Authors: | Sun Chunyan |
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| Abstract: | In the option pricing model with discrete time,the asset price changes with varied possibility at every point of time.So it is a key to determine the probability that every possible state will occur.This paper discusses how to determine the probability coefficients of a binomial pricing model and a trinomial pricing model,and discusses the relations between the option pricing model with discrete time and the Black-Scholes model according to the probability coefficients. |
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| Keywords: | option pricing model with discrete time probability coefficients binomial pricing model trinomial pricing model Black-Scholes model |
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