基于不同时段无风险利率的二叉树期权定价探究  

Research on Binary Tree Option Pricing Based on Risk Free Interest Rate in Different Time Periods

作　　者：李王 侯为波[1] LI Wang;HOU Weibo(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院

出　　处：《淮北师范大学学报（自然科学版）》2019年第3期7-11,共5页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽省高校自然科学基金项目(KJ2018A0384)

摘　　要：文章在Cox,Ross,Rubinstein提出的二叉树期权定价模型基础上考虑现实生活时变的无风险利率对期权定价的影响,提出将2阶段不同的无风险利率加入到2步二叉树模型中.通过参数估计与公式推导将2时段不同的无风险利率引入到多步二叉树模型中,完善二叉树对于时变的无风险利率的考虑,更贴近现实生活的金融市场.Based on the two-fork tree option pricing model proposed by Cox,Ross,Rubinstein,this paper con?siders the influence of real life time-varying risk-free interest rate on option pricing,and proposes to add the different risk-free interest rate of two stage to the two-step binary tree model.Through parameter estimation and formula derivation,the risk-free interest rate of two time period is introduced into the multi-step binary tree model,and the consideration of the time-varying risk-free interest rate by the two fork tree is perfected,which is closer to the real-life financial market.

关 键 词：二叉树 无风险利率 参数估计 

分 类 号：F380[经济管理—产业经济]