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本人研究了Boeing(波音)公司的股票和欧式看涨期权,首先算出了其股票在一定时期内的波动率,并在相应LIBOR利率下用三叉树模型对其期权进行了模拟定价。然后,我把三叉树定价模型结果分别与市场当期收盘价、二叉树定价模型和Black-Sholes期权定价模型的定价结果进行了比较,分析了其定价的准确性和效率,并由此概括出三叉树模型定价的优势与不足。我接下来又用三叉树法对构造出来的欧式期权和美式期权进行了比较定价分析。最后,我进行了回望期权的二叉树法定价研究。
I studied Boeing’s stock and European call options, first calculated the volatility of their stocks over a period of time, and simulated their options using the triplet model at the corresponding LIBOR rates. Then I compared the results of the trigeminal pricing model with the market closing price, the binary tree pricing model and the pricing model of the Black-Sholes option pricing model respectively, and analyzed the accuracy and efficiency of the pricing model, and then summarized the trigeminal tree Advantages and disadvantages of model pricing. I then used the trivariogram to compare the comparative pricing of the constructed European and American options. Finally, I conducted a look-ahead option binary tree pricing study.