单周期二项式模型

An Introduction to Derivative Securities, Financial Markets, and Risk Management Pub Date : 1900-01-01 DOI:10.1142/9781944659561_0017

R. Jarrow, Arkadev Chatterjea

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引用次数: 3

摘要

以下部分包括:简介二项模型的应用和使用期权定价模型简史1973年以前的期权定价期权定价举例:假设单期模型无套利原则构建二项树无套利树股票价格与鞅定价模型对冲比率风险中性估值实际概率与伪概率附录证明无套利论证概率与风险溢价案例问题与问题

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Single-Period Binomial Model

The following sections are included:IntroductionApplications and Uses of the Binomial ModelA Brief History of Options Pricing ModelsOption Pricing Pre-1973Options Pricing, 1973 and AfterAn ExampleThe AssumptionsThe Single-Period ModelThe No-Arbitrage PrincipleBuilding Binomial TreesArbitrage-Free TreesStock Prices and MartingalesThe Pricing ModelThe Hedge RatioRisk-Neutral ValuationActual versus Pseudo-probabilitiesSummaryAppendixProving the No-Arbitrage ArgumentThe Probabilities and Risk PremiumCasesQuestions and Problems

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An Introduction to Derivative Securities, Financial Markets, and Risk Management

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