Chapter two has analyses binomial tree models fixing the price extremely to the theory of the transferable bond 筆者在第二章分析了二叉樹模型極其對可轉(zhuǎn)債的理論定價。
Inspired by the binomial tree model, we also provide the algorithms under the multiplicative triple tree model . and the convergence is provided 這些方法都具有簡單容易實(shí)現(xiàn)的特點(diǎn),并且給出了它們的收斂性。
The general thinking and logic structure of this paper is as this : first, we should introduce the general theory and classification of warrants before we deal with the pricing method in detail; second, we choose binomial tree model because it is the most simple and practical way to assess them and add some restriction factors, which fit well with the features of chinese financial market and the reality of listing companies issuing the stock 然后,在各種權(quán)證價值評估的方法中選取最為簡單實(shí)用的二叉樹模型。采用二叉樹模型對國內(nèi)的權(quán)證進(jìn)行定價,不能照搬國外的模型,相反必須對國內(nèi)金融市場的特征和發(fā)行權(quán)證的上市公司的實(shí)際情況加以充分的考慮。在結(jié)合中國股市上市公司的具體情況,在二叉樹的初始模型中加入各
Evading risk in financial trading market cries for pricing options to a nicety . asian option, as the most flourish options in the finace market, the pricing has been focused on always . the exact pricing formula for the geometric average asian option had existed, but as to the european-style arithmetic average asian option, due to the dependence structure between the prices of the underlying asset, no analytical formula exists . on the hypothesis that the market is frictionless and without transaction costs 、 on the base of b-s ’ s and in the binomial tree model, we provide several algorithms for computing an accurate value of the european-style arithmetic average asian option . following rogers and shi and by jensen ’ s inequality, many different upper and lower bounds are provided; meanwhile a formula have got by the comonotonicity and approximating the distribution function . all of the algorithms are easy for programming . with the development of computer, more accurater price can be computed quickly . and numerical example proved that these algorithms are very accurate 對于幾何平均亞式期權(quán)它的定價相對簡單,已經(jīng)給出了定價公式。對于算術(shù)平均亞式期權(quán),它的未定權(quán)益具有軌道依賴特性,一直沒有得到它的定價方程的解析解形式。本文基于對市場是無摩擦且在沒有交易費(fèi)用的情況下,在b-s模型下,利用二叉樹模型給出了算術(shù)平均亞式期權(quán)定價方法;并總結(jié)了利用jensen’s不等式給出的各種不同情況下的上下界;同時應(yīng)用共單調(diào)性和近似分布函數(shù)的方法也給出了算術(shù)平均亞式期權(quán)價格的近似公式。