论文：二叉树应用于面临突变可能市场中的或有要求权定价.docVIP

论文：二叉树应用于面临突变可能市场中的或有要求权定价 论文：二叉树应用于面临突变可能市场中的或有要求权定价摘要：按Merton的观点，股价的变化可分为两类，一类是常规的边际扰动，另一类是非常规的突变。为了更好地分析研究金融市场的变化性态，我们在运用二叉树研究股价及其或有要求权价格常规变动的基础上，进一步利用此工具研究在面临突变可能的市场中或有要求权的定价问题，并推导出关于欧式或有要求权（期权）定价、标的资产（股票）估价的明确表达式。关键词：突变（跳），突变，欧式或有要求权（期权），定价，二叉树研究领域：市场有效性与资本资产定价研究Binomial?trees?used?in?valuation?of?contingent?claimsin?a?market?in?face?of?sudden?breaksAbstract:?According?to?Prof.?Merton,?the?total?change?in?the?stock?price?is?composed?of?two?types?of?changes,?the?normal,?marginal?vibrations?and?the?abnormal,?sudden?and?rare?breaks.?In?order?to?analyze?these?marketing?behaviors?more?simply?and?efficiently,?we?use?the?binomial?trees?to?introduce?a?new?method?on?Valuation?of?European?Contingent?Claims?in?a?market?in?face?of?sudden?and?rare?breaks?(with?jumps),?on?the?basis?of?using?binomial?trees?to?investigate?the?normal?changes?of?financial?securities.?The?explicit?formulas?of?the?contingent?claims’?value?and?the?underlying?assets’?prices?are?given.Keywords:?Sudden?Breaks?(Jumps),?European?Contingent?Claim?(ECC),?European?Option?(EO),?Valuation,?Binomial?treesResearch?field:?Efficient?Markets?and?Asset?Pricing1.Introdt?use?stochastic?differential?equations?with?jumps?to?study?this?problem.?In?order?to?simplify?the?research?process,?we?introduce?binomial?trees?to?study?the?valuation?problems.Binomial?trees?may?be?one?of?the?most?popular?methods?to?deal?with?valuation?of?ECC?and?EO?in?stochastic?financial?markets?without?jump.?Hull?and?Kolb’s?works?[3,?4,?6]?both?involve?these?contents?respectively.?But?these?books?have?not?involved?those?contents?of?binomial?trees?used?in?stochastic?financial?markets?with?sudden?breaks?(These?sudden?breaks?may?cause?more?severe?reactions?in?the?market?than?usual),?whereas?we?will?study?this?in?the?present?paper.?We?give?some?explicit?formulae?to?demonstrate?the?value?of?ECC?and?EO?and?the?prices?of?underlying?assets?(stocks).2.Valuation?of?European?options?and?contingent?claims?using?binomial?treeFigure?1?A?Bino