| 基于跳扩散模型欧式期权定价的条件二叉树方法 |
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| 引用本文： | 石广平,周圣武.基于跳扩散模型欧式期权定价的条件二叉树方法[J].数学理论与应用,2012(1):19-26. |
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| 作者姓名： | 石广平 周圣武 |
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| 作者单位： | 淮北师范大学数学科学学院;中国矿业大学理学院 |
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| 摘 要： | 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。
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| 关 键 词： | 跳扩散过程 二叉树 期权定价 |
The Binomial Tree Method for European Option Pricing with Jump Diffusion |
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| Shi Guangping,Zhou Shengwu.The Binomial Tree Method for European Option Pricing with Jump Diffusion[J].Mathematical Theory and Applications,2012(1):19-26. |
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| Authors: | Shi Guangping Zhou Shengwu |
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| Institution: | 1.College of Mathematical Sciences,Huaibei Normal University,Huaibei,China,235000)(2.College of Science,China University of Mining and Technology,Xuzhou,China,221116) |
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| Abstract: | The European option pricing problem when the underlying stock price follow jump-diffusion is studied using binomial tree method,and the binomial tree pricing formula for European option is obtained.It is proved that the equation of European option value under binomial tree model is quickly converged at Merton’s accurate analytical solution.Numerical examples illustrate the model’s accuracy. |
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| Keywords: | Jump-diffusion process Binomial tree Option pricing |
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