第4章节期权定价跟运用资料.pptVIP

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 the final nodes We work back through the tree using risk-neutral valuation to calculate the value of the option at each node, testing for early exercise when appropriate 美式期权没有解析解，故采用二叉树方法来逼近。 * 5.7 Application: American option pricing American option pricing * 以无收益证券的美式看跌期权为例。把该期权有效期划分成N个长度为h的小区间，令 表示在时间 时第j个结点处的美式看跌期权的价值，同时用 表示结点 处的证券价格，可得： 后，假定期权不被提前执行，则在风险中性条件下： * Example: American Put Option(See Example 16.1, page 391) S = 50; X = 50; r =10%; s = 40%; T = 5 months = 0.4167 (year); h = 1 month = 0.0833 (year); The parameters imply u = 1.1224; d = 0.8909; = 1.0084; p = 0.5076 * 为了构造二叉树，我们把期权有效期分为五段，每段一个月（等于0.0833年）。可以算出： * Example * X＝50 二叉树模型的程序 example ：Price an American call option using a binomial model. Again, the asset price is $100.00, the exercise price is $95.00, the risk-free interest rate is 10%, and the time to maturity is 0.25 years. It computes the tree in increments of 0.01 years, so there are 0.25/0.01 =25 periods in the example. The volatility is 0.50, this is a call (flag = 1), the dividend rate is 0, and it pays dividend of $5.00 after three periods (an ex-dividend date). Executing the toolbox function * MATLAB financial toolbox [AssetPrice, OptionPrice] = binprice(Price, Strike, Rate, Time, Increment, Volatility,