随机利率模型下二叉树方法期权定价
Binomial Option Pricing under Stochastic Interest Rates
DOI: 10.12677/AAM.2019.811210, PDF, 下载: 1,047  浏览: 1,728 
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. 随机利率模型下二叉树方法期权定价[J]. 应用数学进展, 2019, 8(11): 1802-1808. https://doi.org/10.12677/AAM.2019.811210

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