金融工程数值方法分析.pptVIP

THE OPTION VALUE The correct answer is. . . 0.5 Why? CHAPTER 15the binomial model In this Chapter a simple model for an asset price random walk delta hedging no arbitrage the basics of the binomial method for valuing options risk neutrality The binomial model is a simple and fast, accurate numerical method for valuing options. It requires only basic arithmetic and no complicated stochastic calculus. We are going to examine a very simple model for the behavior of a stock, and based on this model see how to value options. We will have a stock, and a call option on that sto