The Binomial Option Pricing Models with Different Parameters

摘要：

Probability theory is used to construct a new type of binomial parameter model, which can avoid negative probability. A detailed proof is given for the generalized binomial model where an extended parameter is added to. The European options and Asian options are priced respectively by numerical examples. The results show that all the binomial models with different parameters have excellent convergence. In addition, the convergence of the generalized binomial model is more stable.

关键词： option pricing binomial tree extended parameter convergence

作者: Lijuan Lu Yunjiao Hu Rongxi Zhou

作者单位: College of Science,Beijing University of Chemical Technology,Beijing, 100029, China School of Economics and Management,Beijing University of Chemical Technology,Beijing, 100029, China

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 215-218

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）