系统工程理论方法应用2000，Vol.9Issue(3)：209-216,8.
一个依赖于挠度与峭度的三项式期权定价模型
A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis
摘要
Abstract
This paper develops a trinomial option pricing model that incorporates the first four moments of the stock return distribution. The model allows for stock return distribution which are positively or negatively skewed and have fatter or thinner. Particularly, parameters of model can be chosen to match empirically estimated mean, variance, skewness, and kurtosis of the stock return distribution. The model thus has the potential to produce option prices that are more consistent with empirically observed stock return distribution.关键词
期权定价/股票收益/挠度/峭度/三项式模型Key words
option pricing stock return skewness kurtosis trinomial model分类
管理科学引用本文复制引用
谢赤..一个依赖于挠度与峭度的三项式期权定价模型[J].系统工程理论方法应用,2000,9(3):209-216,8.基金项目
国家自然科学基金项目(79970015) （79970015）
