|Table of Contents|

Theoretical Models of Option Pricing and Probatal Analysis(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2008年02期
Page:
31-36
Research Field:
数学
Publishing date:

Info

Title:
Theoretical Models of Option Pricing and Probatal Analysis
Author(s):
Chen Bo; Liu Guoxiang; Zhang Yuan
School of Mathematics and Computer Science,Nanjing Normal University,Nanjing 210097,China
Keywords:
Black-Scho les;  binom ina l tree;  Monte car lo;  Ko ichiro-Takaoka;  option pric ing
PACS:
F224;F830.9
DOI:
-
Abstract:
Th is paper introduces four option pricing m ode ls and applies them in calcu lating two Chinese options. price. By ana ly zing the figures, w e find the deg ree o f accuracy betw een models, then g iv e som e reasons fo r the d ifference betw een theoretical price and m arket pr ice.

References:

[ 1] 张顺明. 证券估值B lack-Scho les模型的一般化[ J]. 经济数学, 1999, 16( 2): 13-20.
[ 2] 杨春鹏. 实物期权及其应用[M ]. 上海: 复旦大学出版社, 2003.
[ 3] 姜礼尚. 期权定价的数学模型和方法[M ]. 北京: 高等教育出版社, 2003.
[ 4] 孙胜利. 欧式期权定价原理及应用[ J]. 河南科学, 2005, 23( 6): 794-797.
[ 5] 张铁. 一个新型的期权定价二叉树参数模型[ J] . 系统工程理论与实践, 2000, 20( 11): 90-93.
[ 6] John C Hu ll O. Future and O ther Derivativ e Secur ities[M ]. 2nd ed. B eijing: Pre ticeH a l,l 1999.
[ 7] 刘嘉. 应用随机过程[M ]. 北京: 科学出版社, 2000.

Memo

Memo:
-
Last Update: 2013-05-05