美式看跌期权的模糊二叉树模型  

Fuzzy Binary Tree Model with American Put Option

作　　者：贾东芳[1] 

机构地区：[1]唐山师范学院数学与信息科学系,河北唐山063000

出　　处：《唐山师范学院学报》2013年第2期28-30,共3页Journal of Tangshan Normal University

基　　金：唐山师范学院教育教学改革研究项目(2011001013)

摘　　要：运用三角形Fuzzy数描述标的资产的波动率,通过非线性规划方法获得Fuzzy线性系统的解,即不精确的风险中性概率,进而给出美式看跌期权的多期模糊二叉树定价模型。Triangular fuzzy numbers are used to describe the volatility of the underlying asset, and the nonlinear programming method was used to obtain the solution of fuzzy linear systems, that is imprecise risk-neutral probabilities. The multi-period American put option pricing fuzzy binary tree model was given.

关 键 词：FUZZY数 美式看跌期权 波动率 

分 类 号：O159[理学—数学] F830.9[理学—基础数学]