随机利率模型下二叉树方法期权定价  

Binomial Option Pricing under Stochastic Interest Rates

作　　者：方静[1] 舒慧生[1] 

机构地区：[1]东华大学,上海

出　　处：《应用数学进展》2019年第11期1802-1808,共7页Advances in Applied Mathematics

摘　　要：本文讨论了Vasicek随机利率模型下欧式期权定价的标准二叉树方法。 通过将股价和利率的随机微 分方程中的扩散项系数化简,原始模型转换为"标准型",构建联合二叉树对欧式期权进行定价, 得到了期权价格的数值计算方法。This paper discusses the standard binary tree method for European option pricing under the Vasicek stochastic interest rate model. The article makes some transfor- mations based on the Vasicek stochastic interest rate model, which is to simplify the model equation by simplifying the diffusion term coefficients in the stochastic differ- ential equations of stock price and interest rate, and transform the original model into the standard type required for this paper. Then we construct a simple joint binary tree to price European options, and get an iterative formula for the option price.

关 键 词：期权定价 随机利率 二叉树 标准型 

分 类 号：F83[经济管理—金融学]