论文部分内容阅读
二叉树模型是目前金融界最基本的期权定价方法之一。美式看跌期权定价的二叉树图中各节点处期权价格之间存在描述其大小关系的不等式。本文在研究美式看跌期权定价的二叉树结构图中,提出两个新的不等式,并对[1]中不等式Vjn-1≥Vjn给出一种直接的证明。
The binary tree model is one of the most basic pricing methods in the financial world at present. There is an inequality describing the relationship between the price of each option at each node in the binary tree map of American put options pricing. In this paper, two new inequalities are proposed in the binary tree structure diagram of American put options pricing, and a direct proof is given for the inequality Vjn-1≥Vjn in [1].