计算机与数字工程2016，Vol.45Issue(7)：1195-1199,5.DOI:10.3969/j.issn.1672-9722.2016.07.001
一类特殊欧式期权定价模型的Matlab算法
Matlab Algorithm of A Specil European Option Pricing Model
摘要
Abstract
In this paper,for a kind of European call option pricing model with stock price's Brownian and Poisson process,transaction cost and continuous dividend,aiming at the complexity of its differential equation solution and numerical solution,the Matlab algorithm of option price's analytical solution,the Matlab algorithm of Binomial tree,Triple tree model's numerical solution are studied,Thus the process of option pricing is greatly simplified.Finally,through the example study,comparing the difference of three kinds of algorithm results,the influence degree for option pricing results of every parameter in this model is analyzed,which can provide certain technology support to the production of all kinds of new op-tions.关键词
期权定价/二叉树模型/三叉树模型/Matlab算法Key words
option pricing/binomial tree model/triple tree model/Matlab algorithm分类
管理科学引用本文复制引用
任芳玲,乔克林..一类特殊欧式期权定价模型的Matlab算法[J].计算机与数字工程,2016,45(7):1195-1199,5.基金项目
国家自然科学基金项目(编号:11471007) （编号:11471007）
陕西省教育厅专项科研计划项目(编号:15JK1822) （编号:15JK1822）
延安市科研计划项目(编号:2014ZC-6) （编号:2014ZC-6）
延安大学科研计划项目(编号:YDQ2014-47)资助. （编号:YDQ2014-47）
