Binomial Trees Used in Valuation of Contingent Claims in a Market in Face of Sudden Breaks
According to Prof.Merton,the total change in the stock price is composed of two types of changes,the normal,marginal vibrations and the abnormal,sudden and rare breaks.In order to analyze these marketing behaviors more simply and efficiently,we use the binomial trees to introduce a new method on Valuation of European Contingent Claims in a market in face of sudden and rare breaks (with jumps),on the basis of using binomial trees to investigate the normal changes of financial securities.The explicit formulas of the contingent claims” value and the underlying assets” prices are given.
Sudden Breaks (Jumps) European Contingent Claim (ECC) European Option(EO) Valuation Binomial trees
Jin Gan Li Zhongfei Situ Rong Huang Wenzao
Lingnan(University)College, Zhongshan University Department of mathematics, Zhongshan University School of Mathematical Sciences, Peking University
国内会议
天津
英文
489-498
2007-11-03（万方平台首次上网日期，不代表论文的发表时间）