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 , 舒慧生 :东华大学,上海;

关键词: 期权定价随机利率二叉树标准型Option Pricing Stochastic Interest Rate Binary Tree Standard Model

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。

Abstract: 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.

文章引用: 方 静 , 舒慧生 (2019) 随机利率模型下二叉树方法期权定价。 应用数学进展, 8, 1802-1808. doi: 10.12677/AAM.2019.811210

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