第3章-期权定价的二叉树模型.pdf-IIS7.PDF

绗?绔 鏈熸潈瀹氫环鐨勪簩鍙夋爲 妯″瀷 3.1 鍗曟湡浜屽弶鏍戞ā鍨 鈥 鑰冭檻鍗曟湡浜屽弶鏍戜笂鏌愪釜鍩虹璧勪骇鐨勪环鏍 饊亞 肀 =肀€亞 肀 肀♀垝1 饊亞肀♀垝1 饊亞 饊亼 = 饊亼饊亞 肀 肀♀垝1 饊伜 聿 饊伜 饊倕 鈥 鍏朵腑聿 = 聿 ,饊倕 = 聿 锛屼笖砜 饊倕 聿栥€ 饊伜聿曗垝砜 饊伜聿曗垝砜 鈥 鍙﹀瓨鍦ㄥ崟鏈熸棤椋庨櫓鍒╃巼聿 锛堩矒 鈭掜繌锛夛紝婊¤冻砜 饊倕 砜?聿 聿栥€ 鈥 瀛樺湪杩欑鍩虹璧勪骇鐨勬煇涓湅娑ㄦ湡鏉冿紝聿曟椂鍒诲埌鏈燂紝鎵ц浠锋牸涓吼€伈锛 饊伜 饊倕 饊伈 饊伜 (聿?銆 聿 聿 + 鈥 璁梆€伣 = 饊伜 鈭掟€伈 鈮№矌饊倐聿?饊伜 鈭掟€伈,砜?锛岃〃绀虹湅娑ㄦ湡鏉冨湪聿曟椂鍒荤殑鎶 聿 聿 聿 閰€ 鈥 銆愪緥棰?.1銆 砜 砜 鈥 璁惧畾饊伜聿曗垝砜 =砜掞紝聿 = 砜愶紝饊倕 = 锛岉矒 = 锛岎€伈 = 砜撱€傝绠楃湅娑ㄦ湡鏉冨湪 砜 砜 聿 鈭掜繌鏃跺埢鐨勪环鍊拣€伣 銆 聿曗垝砜 鈥 銆愪緥棰?.1銆戠姸鎬佷环鏍兼柟娉 鈥 鐢ㄥ熀纭€璧勪骇鍜屾棤椋庨櫓鍒╃巼璁＄畻闅愬惈鐨勭姸鎬佽瘉鍒镐环鏍 斫嶍繌 砜 砜 鈭掜繌 砜 砜?砜 鈥 = = 斫嶍繍 砜 砜 砜?砜 砜?砜 鈥 閭ｄ箞 斫嶍繌 砜 鈥 饊伣 = 饊伣 (聿? 饊伣 (饊倕) = 砜?砜 = 砜?砜 聿曗垝砜 聿 聿 斫嶍繍 砜 鈥 銆愪緥棰?.1銆戦闄╀腑鎬ф鐜囨祴搴︽柟娉 鈥 瀛樺湪椋庨櫓涓€ф鐜囨祴搴锛屼娇寰楀熀纭€璧勪骇褰撳墠浠锋牸绛変簬姒傜巼娴嬪害Q涓嬫湡 鏈涘€肩殑鏃犻闄╄创鐜板€硷細 砜 鈥 砜 = 聿 脳砜 + 砜忊垝聿 脳砜 砜 砜 砜捗 鈭掜繍 砜 鈥 閭ｄ箞锛岉矑 = 砜 = 砜栤垝砜 砜 砜 砜 砜 鈥 鍥犳锛岎€伣聿曗垝砜 = 脳砜? 脳砜 = 砜?砜 砜 砜 砜 鈥 銆愪緥棰?.1銆戝姩鎬佸鍒讹紙濂楀埄锛夋柟娉 鈥 鏌愪釜鍒稿晢浠ロ笨聿曗垝砜 = 砜?砜戠殑浠锋牸鍗栧嚭涓€浠界湅娑ㄦ湡鏉冦€備负浜嗗鍐茬湅娑ㄦ湡鏉 鐨勭┖澶撮闄╂暈鍙ｏ紝璇ュ埜鍟嗙珛鍒讳拱鍏ュ熀纭€璧勪骇饊姭 浠斤紝鎴愭湰涓 饊€垝砜 饊専 饊伜 =砜掟€姭 銆傚墿浣欒祫閲戫笨 鈭掟€専 饊伜 = 砜?砜戔垝砜掟€姭 浠ユ棤椋庨櫓 聿曗垝砜 聿曗垝砜 饊€垝砜 聿曗垝砜 聿曗垝砜 聿曗垝砜