| 二叉树模型下欧式期权价值关于波动率的单调性研究 |
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| 引用本文： | 张会灵,马飞遥.二叉树模型下欧式期权价值关于波动率的单调性研究[J].宁波大学学报(理工版),2022,0(3):94-97. |
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| 作者姓名： | 张会灵 马飞遥 |
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| 作者单位： | 宁波大学 数学与统计学院, 浙江 宁波 315211 |
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| 基金项目： | 国家自然科学基金(11971251)；;浙江省自然科学基金(LY20A010010)； |
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| 摘 要： | 研究了在市场无套利情况下, 二叉树模型的欧式期权价格与标的资产波动率的单调性问题. 首先给出了2个新的组合公式, 然后借助该组合公式证明了欧式期权价格与标的资产波动率存在单调递增关系.
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| 关 键 词： | 二叉树模型 期权定价 波动率 |
Monotonicity of volatility in European option pricing under binomial tree model |
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| ZHANG Huiling,MA Feiyao.Monotonicity of volatility in European option pricing under binomial tree model[J].Journal of Ningbo University(Natural Science and Engineering Edition),2022,0(3):94-97. |
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| Authors: | ZHANG Huiling MA Feiyao |
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| Affiliation: | School of Mathematics and Statistics, Ningbo University, Ningbo 315211, China |
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| Abstract: | In this paper, we study the monotonicity of European option price and underlying asset volatility of the binary tree model for the case of no arbitrage. Firstly, we derive two new combination formulas. Then, based on these two combination formulas, the monotonic incrementing relation between European option pricing and underlying asset volatility is proved. |
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| Keywords: | binary tree model option pricing volatility |
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