二叉树从二期模型到n期模型的扩展  

Extension of Binomial Model from Two-Period Model to n-Period Model

作　　者：冯晶晶[1] 樊亚云[1] 邢瑞芳 

机构地区：[1]西安培华学院通识教育中心,西安710125

出　　处：《重庆理工大学学报（自然科学）》2016年第10期181-184,共4页Journal of Chongqing University of Technology：Natural Science

基　　金：陕西省自然科学基金资助项目(2007A12);陕西省教育厅专项科学研究资助项目(2015JK2093);西安培华学院科研基金资助项目"多因子远期利率期限结构模型"(PHKT16028)

摘　　要：介绍期权定价的离散模型—二叉树模型。通过讨论期权定价的一期模型,得到一期模型的期权定价公式及其性质。在此基础上,讨论了期权定价的二期模型,最后由期权定价的二期模型推广到n期二叉树模型。A discrete model of option pricing,which is a Binomial model,was introduced. Oneperiod model of option pricing was discussed,and the option pricing formula and its properties of the one-period model were given. On the basis of it,the two-period model of option pricing were discussed. Finally,the two-period model of option pricing was extended to n-period model.

关 键 词：期权 二叉树模型 一期模型 二期模型 n期模型 

分 类 号：O29[理学—应用数学] F224[理学—数学]