基于二项树给期却葱篓定价交易策略.docVIP

“ 2014全国高校量化投资策略大赛” 成果展示 题 目: 基于二项树给期权定价交易策略 姓 名： 赖俊逸、李国文、温捷 学 校： 广东石油化工学院 院 （系）： 理学院 专 业 年 级： 数学与应用数学（统计与金融数学） 2014年 12 月 30日 基于二项树给期权定价交易策略 摘 要： 实际市场如何降低自身风险选择合适期权，市场往往一般指标无法完全刻画出未来价格走势。我们通过研究股票价格的对数正态模型，从而扩展到期权借用二项树的数学模型方法，继续期权的定价并分析其关系。 在股票价格的对数正态模型中研究了，其均值的历史数据从而估计和股票的利润的波动率，其次通过求得对数正态分布变量的均值和方差，对数正态模型随机变量的置信区间，从而进行一步分析定位。 通过研究二项树对期权的定价，运用灵敏度分析等方法，计算出放弃期权的关系及得出执行边界，并通过EXCEL设计出最优执行策略。 因此，利用二项树方法构建期权的定价，寻找期权合适放弃和最优策略的决策，最终做到投资组合，量化处理降低投资者的风险。此模型能够很好的评估了期权的风险问题，具有一定的准确性、可靠性和可操作性，并能够推广到实际问题上。 关 键 词 对数正态模型、二项树、期权定价 SUMMARY Actual market, how to reduce their risk to choose the right options markets tend to be general indicators cannot fully describe the future price movements. Through our research lognormal model of stock price, thus extended to options to borrow the mathematical model of the binomial tree method, continue to option pricing and analyze their relationship. In the stock price of lognormal model is studied, its historical data to estimate the mean and volatility of stock profits, secondly by mean and variance of logarithmic normal distribution variables is obtained, the confidence interval of lognormal model is a random variable, and step analysis positioning. Through the research of option pricing, binomial tree using the method of sensitivity analysis, calculate the abandon option and it is concluded that the relationship between boundary, and through the EXCEL to design optimal execution strategy. Therefore, the use of binomial tree method to build options pricing, looking for options suitable to give up and the optimal strategy decision, ultimately achieve portfolio, quantitative treatment lower the risk of investors. This model is good for evaluation the option risk problem, has a certain accuracy, reliability and maneuverability, and can promote to the practical problems. Keywords lognormal model, the binomial tree, option pricing 1 期权的定义 我们先从一些定义人手来研究期权。买入期权为所有