第5章二叉树模型与美式期权的风险管理【企业风险管理经典】.pptVIP

* OptionPrice = Columns 1 through 4 12.1011 15.1708 25.3470 42.9629 0 5.3068 5.4081 16.3211 0 0 1.3481 2.7402 0 0 0 0 0 0 0 0 0 0 0 0 Columns 5 through 6 54.1653 71.2807 24.3719 37.9629 5.5698 11.3211 0 0 0 0 0 0 * Key conclusions 二叉树模型的基本依据：假设资产价格的运动是由大量的小幅度二值运动构成，用离散的随机游走模型模拟资产价格的连续运动可能遵循的路径。 二叉树模型与风险中性定价原理相一致，即模型中的收益率和贴现率均为无风险收益率，资产价格向上运动和向下运动的实际概率并没有进入二叉树模型，模型中隐含导出的概率是风险中性世界中的概率，从而为期权定价。 当二叉树模型相继两步之间的时间长度趋于零的时候，该模型将会收敛到连续的对数正态分布模型，即Black-Scholes方程。 * * * * * How to compute u or d? * Choosing u and d One way of matching the volatility is to set where s is the volatility and h is the length of the time step. This is the approach used by Cox, Ross, and Rubinstein. Neutral-risk probability is * Simplify first term =1 * Binomial equation * * Simplify second term * Simplify all terms Next step, we must deduce d1 and d2 when n→∞ * deducing d1 and d2 (for m) * deducing d1 and d2 (for p) * * * deducing d2 * Result: Black-Scholes formula * 5.6 How to choose u and d Black-scholes model assume the motion of stock price satisfies the Geometry Brown motion or logarithm normal distribution * How to choose u and d In binomial model, we assume q is probability of stock price up in real worlds. * How to choose u and d * * So, we find one solve of the equation In risk-neutral world, the return of securities must be r, which means * Disscusion: Choosing u and d We have know neutral probability p for any step u d 1 p 1-p * We can get Prove: in risk-neutral world Varian of a stock’s return in According to Geometry Brown motion * u d 1 p 1-p * Substituting for u and d, the terms of higher than 2 power are ignored. From Cox，Ross and Rubinstein(1979) * 美式期权可以提前执行，提前执行从表面上看是一个非常微小的变化，但是欧式期权与美式期权（尤其是看跌期权）价值有很大的不同。 We know the value of the option at