chapter16NumericalProcedures(期权期货及其衍生市场-厦门大学,郑振龙)资料.pptVIP

kjhjghkggjhgkgjk  Chapter 16 Numerical Procedures Binomial Trees Binomial trees are frequently used to approximate the movements in the price of a stock or other asset In each small interval of time the stock price is assumed to move up by a proportional amount u or to move down by a proportional amount d Movements in Time Dt 1. Tree Parameters for aNondividend Paying Stock We choose the tree parameters p, u, and d so that the tree gives correct values for the mean standard deviation of the stock price changes in a risk-neutral world er Dt = pu + (1– p )d s2Dt = pu 2