摘要
二叉树模型是使用范围最广的期权定价方法之一.该文根据期权定价的二叉树模型思想,从矩阵的角度考虑二叉树模型的期权定价,给出了一种基于二叉树模型期权定价的新方法———矩阵形式算法,并通过实例说明了其应用.
Two-binomial tree model is one of the most popular methods used in option pricing. This article , based on the idea of two-binomial tree model for option pricing and the reflection on it from the angel of matrix , puts forward a new method based on the option pricing with two-binomial tree model -- matrix form algorithm, and illustrates its application with living examples.
出处
《广西师范学院学报（自然科学版）》
2006年第1期26-30,共5页
Journal of Guangxi Teachers Education University(Natural Science Edition)
基金
广西自然科学基金(桂科青0339021)
关键词
二叉树模型
矩阵
欧式期权
美式期权
two-binomial tree model
matrix
European option
American option
