摘要
二叉树期权定价模型是期权定价理论中一种重要的数值方法,典型的二叉树模型是在没有交易成本及红利的基础上建立的,本文考虑有交易成本和红利的欧式期权二叉树图法,分别从已知红利率和交易成本比例以及已知红利数额和交易成本数额两方面,给出了欧式期权二叉树模型。并结合典型二叉树模型的矩阵算法,给出了修正后二叉树模型的矩阵形式算法和MATLAB程序语言,使其在实际金融市场中的应用更加便捷。
Binomial tree diagram method is an important numerical method in option pricing theory. The typical binomial tree model is established on the basis of no transaction costs and dividends. However, in this paper, we considered binomial tree diagram of European option with transaction costs and dividends, and gave the binomial tree model of European option from two aspects： the known dividend rate and transaction costs ratio,and the known bonus amount and transaction costs amount. Combined with the typical matrix algorithm of binomial tree model, the matrix algorithm and MATLAB programming language of the modified binomial tree model were obtained, which was more convenient to be used in the actual financial markets.
作者
任芳玲
蒋登智
REN Fang-ling;JIANG Deng-zhi(Yan＇an University,College of mathematics and Computer Science,Yan＇an 716000,China)
出处
《山东科学》
CAS
2018年第5期101-108,共8页
Shandong Science
基金
国家自然科学基金(61763045)
陕西省教育厅科研计划(17JK0874)
延安市科研发展计划(2017WZZ-03-02)
关键词
欧式期权
二叉树图
交易成本
红利
矩阵
European option
binomial tree diagram
transaction costs
dividends
matrix
