跳分散模型下亚式期权定价的一类型二叉树方法.pdf

‡Ûíåa¨†ÿ© a*—.eÊ™œdòa#.‰ê{ £ á ©Ì2©z[14](2006)•(ÿßÃáÔƒa*—.eÊ ™œdòa#.‰ê{ ©z[14](2006)â—Ê™œdòaê{ßœL©z[16] (20 07) ß⁄\”D”ØáVgßÚê{U?Ì2a*—.eƒkœ L´5ºÍgéÚê{U?ßâ —uê{Ì2¸á(ÿß u”D”Øáu)¥ƒUCìL˛¥ª¿ÿ”(ÿŸgß d©z[37] £2007 §y(ÿßÊ^ ©z[14]•Ç5ä¬ÒÑ› çØ‘äê{ßO\Oé(J›Å߶^matlab?ßßO é¸áKÍ‚(JßÜÊ^Monte Carlo[ê{Í‚(JÉ ß—(ÿ Öc: Ê™œßa*—.ß´5ºÍß‘ä i a*—.eÊ™œdòa#.‰ê{ AN ADJUSTED BINOMIAL MODEL FOR PRICING ASIAN OPTIONS IN DIFFUSION MODELS ABSTRACT This paper extends the results of the paper[14](2006). We mainly study the adjusted binomial model for pricing asian options in diusion models. The paper[14](2006) firstly obtained a type of method for pricing asian options. Then,through the paper[16](2007),this paper introduces the concept of ”the rare event”,improves the method and extends it to the jump diusion model. Firstly,the method through the thought of the indicator function is improved. After the method extended we give out two conclusions,which are two dierent of conclu- sions about the occurance of the rare event whether to change the selection of the path on the representative averages.Secondly,according to the conclusion which is proved by the literature[37](2007),comparing with the linear interpolation of the literature[14],we use convergence faster parabolic interpolation in order to in- crease the precision of calculation results. Finally, the data calculation results of the two propositions by matlab programming are obtained. Compared with the data by the use of Monte Carlo Simulation ,we obtained the conclusion. KEY WORDS: asian option,jump