| 有红利美式看跌期权定价树图模型的自适应性改进 |
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| 引用本文： | 唐耀宗,金朝嵩. 有红利美式看跌期权定价树图模型的自适应性改进[J]. 经济数学, 2009, 26(1): 54-57 |
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| 作者姓名： | 唐耀宗 金朝嵩 |
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| 作者单位： | 喀什师范学院数学系,新疆喀什,844007;重庆大学统计与精算科学系,重庆,400044 |
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| 摘 要： | 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.
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| 关 键 词： | 美式看跌期权 红利 树图模型 自适应性改进 |
THE ADAPTIVE CHANGING TO TREE MODEL IN PRICING DIVIDED AMERICAN PUT OPTIONS |
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| Tang Yaozong,Jin Chaosong. THE ADAPTIVE CHANGING TO TREE MODEL IN PRICING DIVIDED AMERICAN PUT OPTIONS[J]. Mathematics in Economics, 2009, 26(1): 54-57 |
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| Authors: | Tang Yaozong Jin Chaosong |
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| Affiliation: | 1.Department of Mathematics of Kashgar Teachers'College;Kashgar;Xinjiang;844007 2.Department of Statistics and Actuarial Science;Chongqing University;Chongqing;400044 |
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| Abstract: | Based on the Trinomial Tree pricing model of the divided American-style put,the nonlinearity error,which produced by the discrete distributions,has been sharply reduced by introducing the adaptive mesh.Finally,numerical examples are given.The traditional Binomial Tree and Trinomial Tree are compared with the adaptive mesh model numerically.The numerical results shows that the adaptive mesh model is more accurate and valid. |
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| Keywords: | American put options divided tree model adaptive mesh |
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