期权定价的混合型三叉树模型及其应用研究  

Mixed Trinomial Pricing Model for Financial Derivative Securities and Its Application

作　　者：马俊海[1] 张同声[2] 刘凤琴[1] 

机构地区：[1]浙江财经学院金融学院 [2]水利部水电局

出　　处：《数量经济技术经济研究》2005年第4期75-82,共8页Journal of Quantitative & Technological Economics

摘　　要：本文主要针对传统的三叉树定价模型的应用局限及收敛性特点,从有效减少模型计算的复杂程度考虑,分析与探讨一种粗细网格并存的混合型三叉树定价模型,从而在不过多增加模型计算工作量的前提下,使其估计精度能有一个较大程度的提高。实例研究表明,该模型对许多金融衍生证券,尤其是应用十分广泛的障碍期权的价格估计具有明显的改进效果。In the light of application limitation and convergence characterstic, from the point of lessening effectively computation work of the pricing model, this paper set up a new model which is called mixed Trinomial Pricing Model for Financial Derivative Securities According to the result of example analysis.This new model has an better application effectiveness on many Financial Derivative Securities, especially for barrier Amercian options.

关 键 词：期权定价 网格方法混合模型 三叉树 

分 类 号：F08[经济管理—政治经济学]