基于Bayesian的二叉树期权定价模型_王军伟.pdfVIP

9 2 V ol. 9 N o . 2 2009 6 JOURNAL OF SH ANGH AI INST IT U T E OF T ECH NOL OGY J un. 2009 : 1671- 7333( 2009 02- 0119- 0 3 Bayesian 1 2 王军伟 , 罗 纯 ( 1. , 20024 1; 2. , 200235 : 衍生证券中期权的合理定价是困扰着投资者的 一个难题, 在用二 树模型进行定价 时, 模型中波动率的周期间隔是很难确定的, 但又是必须面对的问题, 相关公司都有自己独到 的确定时期间隔的方法一般对前期的信息和类似股票或相关证券的信息被忽略, 这样的处 理使我们不能充分利用相关的信息从而不能更加准确的对期权进行定价利用Bayesian 理 论和二 树模型, 综合先验信息和人们对期权的已有知识, 对期权进行了定价探讨了基于 Bayesian 的Binary- t ree 期权定价模型, 使股票的收益率服从正态分布 : Bayesian ; Binary- t ree 期权定价模型; 正态分布 : F 224 : A Binary-tree Model Based on Bayesian 1 2 WA N G J un-w e i , L UO Ch un ( 1. School of Finance and Statistics, East China Normal Univer sity, Shanghai 20024 1, China; 2. Department of Mathematics and Physics, Shanghai nstitute of Technology, Shanghai 200235, China) Abstract: T he reasonable price of derivative securities in the options is a problem which haunts inves- tors. n the model it is difficult to determine the interval cycle of rate fluctuations, which will be faced when you want to price. Each related company has its own unique way to determine the time intervals, generally the information of post-time and the information of similar shares or related securities is ig- nored, so that we can not make full use of relevant information and figure out more accurate on the op- tions for pricing. Through the use of Bayesian theory and Binary-tree model and integrating previous ex- perience and people. s prior knowledge, options are priced. That