基于GARCH模型的三叉树期权定价方法  

Trinomial Tree Method of Option Pricing Based on GARCH Model

作　　者：宫文秀 许作良 GONG Wen-xiu;XU Zuo-liang(School of Mathematics,Renmin University of China,Beijing 100872,China)

机构地区：[1]中国人民大学数学学院,北京100872

出　　处：《数学的实践与认识》2020年第7期106-114,共9页Mathematics in Practice and Theory

基　　金：国家自然科学基金资助项目(11571365)。

摘　　要：在波动率满足GARCH模型下,提出了有支付红利和交易费用的三叉树图,通过建立三叉树模型得到了期权的定价模型.在此基础上进一步研究了一种强路径依赖型奇异回望期权的定价问题.最后进行数值计算和实证分析,结果表明,基于GARCH模型的三叉树定价方法是有效的,且计算稳定.This paper puts forward the trinomial tree method based on GARCH model and establishes the option pricing model with dividends and transaction costs.In addition,we research the pricing problem of a kind of strong path dependent exotic lookback option.Finally,numerical examples and market tests are presented to show the proposed method is efficient and stable.

关 键 词：欧式期权 三叉树 回望期权 GARCH模型 期权定价 

分 类 号：F832.5[经济管理—金融学] O211.6[理学—概率论与数理统计]