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1.
本文基于支付固定红利美式看跌期权的三叉树图定价模型,对其进行了自适应性改进,从而解决了树图模型所存在的因为时间离散、状态不连续而产生的"非线性误差"问题.最后给出了实证分析,并与二叉树图和三叉树图进行了比较,结果表明进行自适应性改进后可以得到更加精确、有效的数值解.  相似文献   

2.
对股票价格的跳扩散模型进行了分析,在CRR二叉树期权定价模型的基础上考虑标的股票价格发生跳跃的情况,得出基于跳扩散过程的股票期权的条件二叉树定价模型,并且证明在极限情况下,该条件二叉树模型的期权定价公式趋于Merton的解析定价公式,数值试验证实该条件二叉树模型的有效性。  相似文献   

3.
在波动率满足GARCH模型下,提出了有支付红利和交易费用的三叉树图,通过建立三叉树模型得到了期权的定价模型.在此基础上进一步研究了一种强路径依赖型奇异回望期权的定价问题.最后进行数值计算和实证分析,结果表明,基于GARCH模型的三叉树定价方法是有效的,且计算稳定.  相似文献   

4.
对目前普遍使用的期权定价二叉树模型进行了分析,利用随机误差校正方法推广出了一种新型的二叉树参数模型.  相似文献   

5.
对目前普遍使用的期权定价二叉树模型的缺陷进行了分析,利用矩法构造出新型的二叉树参数模型.新的模型避免了负的概率并且具有很高的计算精度,因而可应用于计算各种期权的价格.  相似文献   

6.
二叉树模型是期权定价中被广泛使用的模型之一, 其参数估计对于期权定价具有重要影响. 本文给出了一种二叉树模型参数估计方法, 该方法克服了二叉树模型经典参数估计方法的缺陷, 特别地, 消除了主观概率设定对参数估计的影响.  相似文献   

7.
刘霞倩  柴俊 《经济数学》2004,21(4):302-306
本文在 L eland的带交易费用的欧式期权定价模型基础上 ,先推导出一般费用模型的定价公式 ,然后用二叉树图法给出了带有交易费用和红利的欧式看涨期权定价的数值方法 ,并比较了多头和空头的不同价值。  相似文献   

8.
李志广  康淑瑰 《数学杂志》2016,36(3):641-648
本文研究了混合分数布朗运动环境下欧式期权定价问题.运用混合分数布朗运动的Ito公式,得到了Black-Scholes偏微分方程.同时,通过求解Black-Scholes方程,得到了欧式看涨、看跌期权的定价公式。推广了Black-Scholes模型有关欧式期权定价的结论.  相似文献   

9.
非线性Black-Scholes模型下阶梯期权定价   总被引:1,自引:0,他引:1  
在非线性Black-Scholes模型下,研究了阶梯期权定价问题.首先利用多尺度方法,将阶梯期权适合的偏微分方程分解成一系列常系数抛物方程;其次通过计算这些常系数抛物型方程的解,给出了修正障碍期权的近似定价公式;最后利用Feymann-Kac公式分析了近似结论的误差估计.  相似文献   

10.
本讨论了一种新型期权--两值期权的定价问题。建立由Possion跳-扩散过程驱动下的股票价格模型,在此模型下推导出期权的价值方程,并给出期权定价公式。  相似文献   

11.
为了克服CRR模型收敛的波动性,以及强调历史信息的预测作用的情况,提出了一个新奇的光滑收敛的树图模型.新模型基于历史信息,运用最小叉熵原理
来推导树图的关键参数p,u,d, 然后使用倒推法推断期权的价格.显然,新模型所得的期权的价格隐含着历史信息.由于最小叉熵原理是一个凸规划问题,能求得唯一的最优解,所以,新模型也适用于不完全金融市场期权定价.最后,数值算例表明,相比于CRR模型,新模型收敛光滑平稳且有更高的计算精度;对上涨(下跌)的二元期权、欧式期权,新模型都能光滑收敛于B-S公式.  相似文献   

12.
The binomial tree methods (BTM), first proposed by Cox, Ross and Rubinstein [J. Cox, S. Ross, M. Rubinstein, Option pricing: A simplified approach, J. Finan. Econ. 7 (1979) 229-264] in diffusion models and extended by Amin [K.I. Amin, Jump diffusion option valuation in discrete time, J. Finance 48 (1993) 1833-1863] to jump-diffusion models, is one of the most popular approaches to pricing options. In this paper, we present a binomial tree method for Asian options in jump-diffusion models and show its equivalence to certain explicit difference scheme. Employing numerical analysis and the notion of viscosity solution, we prove the uniform convergence of the binomial tree method for European-style and American-style Asian options.  相似文献   

13.
生长模型是定量研究果树干周生长过程的有效手段.果树干周生长规律常用L og istic方程、M itscherlich方程、三参数和四参数的R ichards方程、三角函数方程来模拟.本文首次用拟W e ibu ll方程模拟果树干周的生长规律,结果表明,W e ibu ll方程达到了与果树干周最佳拟合的效果,同时,本文方法可先给定由实际情况(如立地条件等)所确定的干周生长的最大值,这使得在研究中可以更好地预测果树将来的干周增长.另外,考虑到因实际情况所造成的初始干周不同这种普遍现象及其引起的生长过程的差异,本文直接引入与单株树体有关的基准干周作为参数,建立了与实际生长情况相结合的干周生长模型,获得了满意的结果.  相似文献   

14.
This paper proposes new methods for computation of greeks using the binomial tree and the discrete Malliavin calculus. In the last decade, the Malliavin calculus has come to be considered as one of the main tools in financial mathematics. It is particularly important in the computation of greeks using Monte Carlo simulations. In previous studies, greeks were usually represented by expectation formulas that are derived from the Malliavin calculus and these expectations are computed using Monte Carlo simulations. On the other hand, the binomial tree approach can also be used to compute these expectations. In this article, we employ the discrete Malliavin calculus to obtain expectation formulas for greeks by the binomial tree method. All the results are obtained in an elementary manner.  相似文献   

15.
针对一种巨灾保险风险证券化产品-巨灾债券的定价问题,首次考虑了我国短期利率的期限结构,并在此基础上提出了Black-Karasinski利率二叉树建立方法(B-K模型),以此确定了中国短期无风险利率,最后通过Louberge巨灾债券理论定价方法试着对我国假想台风损失巨灾债券进行了具体定价,为我国进行巨灾保险风险证券化定价方面提供了一种新的尝试.  相似文献   

16.
We consider in this paper the efficient ways to generate multi-stage scenario trees. A general modified K-means clustering method is first presented to generate the scenario tree with a general structure. This method takes the time dependency of the simulated path into account. Based on the traditional and modified K-means analyses, the moment matching of multi-stage scenario trees is described as a linear programming (LP) problem. By simultaneously utilizing simulation, clustering, non-linear time series and moment matching skills, a sequential generation method and another new hybrid approach which can generate the whole multi-stage tree right off are proposed. The advantages of these new methods are: the vector autoregressive and multivariate generalized autoregressive conditional heteroscedasticity (VAR-MGARCH) model is adopted to properly reflect the inter-stage dependency and the time-varying volatilities of the data process, the LP-based moment matching technique ensures that the scenario tree generation problem can be solved more efficiently and the tree scale can be further controlled, and in the meanwhile, the statistical properties of the random data process are maintained properly. What is more important, our new LP methods can guarantee at least two branches are derived from each non-leaf node and thus overcome the drawback in relevant papers. We carry out a series of numerical experiments and apply the scenario tree generation methods to a portfolio management problem, which demonstrate the practicality, efficiency and advantages of our new approaches over other models or methods.  相似文献   

17.
1 IntroductionLookback options are path-dependent options whose payoffs depend on the maximumor the minimum of the underlying asset price during the life of the options( see[6] [1 0 ][1 4] ) .Here the maximum or minimum realized asset price may be monitored either con-tinuously or discretely.An American lookback call( put) option allows to be exercised atany time prior to expiry and gives the holder the rightto buy( sell) atthe historical mini-mum( maximum) of the underlying asset price on ex…  相似文献   

18.
张鸿雁  岳妍 《经济数学》2006,23(4):360-363
本文讨论了二叉树期权市场的无套利条件,引入有随机因素存在的二叉树欧式期权定价模型,并推出单阶段、多阶段情况下欧式期权的计算公式,证明了多阶段市场未定权益的重要性质.  相似文献   

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