基于二叉树方法的障碍期权与标准期权价差分析模型  

Pricing Value Difference between Barrier and Vanilla Options with Binomial Pricing Method

作　　者：胡文伟[1] 李湛[2] 

机构地区：[1]上海证券交易所高级金融专家工作站,上海20012O [2]上海交通大学安泰经济与管理学院,上海200052

出　　处：《上海交通大学学报》2012年第5期825-831,共7页Journal of Shanghai Jiaotong University

摘　　要：运用二叉树方法建立了障碍期权与标准期权之间的价差分析模型,并分析了影响价差的若干关键因素.结果表明,障碍期权的价值低于对应的标准期权;对于下降敲出看涨期权,若障碍值或行权价越高、有效期越长、标的物的价格越低、其期望收益率越小、波动率越大,则障碍期权与标准期权的价差越大.The binomial pricing method was adopted to build a pricing model for the value difference between barrier and vanilla options which are different only in barrier, as well as the impacts of several key factors on the price difference. The outcomes indicate that the value of the barrier option is lower than that of the vanillar option. Moreover, for the down-and-out call options, the price difference gets bigger with any of the situations which are higher barrier, higher call price, longer maturity, lower underlying asset price, and smaller expected return rate or bigger volatility of the underlying asset price.

关 键 词：障碍期权 期权价差模型 二叉树方法 

分 类 号：F830.9[经济管理—金融学]