二项式任选项定价（英） .pptVIP

·??????? n-period binomial model The options life is split into n time intervals of equal length (?t=T/n). Applying the one-period operation recursively to yield the n-period generalization for calls: c=?nj=0{ n!/[(n-j)!j!]q*j(1-q*)n-jmax[X-Sujdn-j,0]}e-rT * ·??????? A 5-step European option pricing (without dividends) S=96, u=1.0694, X=100, d=1/u=0.9351, T=0.25, q*=0.5206, r=10%, s.d.=0.3 , # of steps =5. * Stock price tree 134.2573 125.5465