摘要
讨论了普通二叉树模型定价公式的缺陷,在新型二叉树定价模型的基础上利用原点矩和中心矩的关系得出新型三叉树定价模型公式,并且证明该三叉树模型下期权价格满足的方程是B-S方程在Δt上的一阶近似.
The defects are discussed for the usual binomial tree model. On the basis of a new type of binomial tree model, a new type triple tree is constructed by mean of connection of origin moment and central moment. It is proved that the equation of option value under triple tree model is approximate to Black-Scholes equation.
出处
《数学的实践与认识》
CSCD
北大核心
2007年第18期39-42,共4页
Mathematics in Practice and Theory
基金
北京市属市管高校人才强教计划资助项目
