A binomial tree to price European options

机译：一个二叉树来定价欧洲期权

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摘要

A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed.

机译：提出了一种时变的波动二叉树，以欧式期权定价，然后是解释如何实现该树的算法。最后，列出了该模型的优点。

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作者
Brogi Athos;
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年度 2010
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原文格式 PDF
正文语种 {"code":"en","name":"English","id":9}
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专利

1. Nonparametric predictive inference for European option pricing based on the binomial tree model [J] . Ting He, Frank P. A. Coolen, Tahani Coolen-Maturi Journal of the Operational Research Society . 2019,第10期

机译：基于二项树模型的欧洲期权定价非参数预测推理
2. Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps [J] . Xiao X. Applied mathematics and computation . 2010,第9期

机译：以偶数步数提高二项式树上欧洲期权价格的收敛速度
3. ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES [J] . Mark S. Joshi Mathematical finance . 2010,第1期

机译：二项式树中欧洲期权价格的高阶收敛性
4. Analysis of software pricing based on binomial tree option pricing model [C] . Qin Wu, Min Wu, Yunzhou Sun International Conference on Information Science, Parallel and Distributed Systems . 2020

机译：基于二叉树期权定价模型的软件定价分析
5. Improvement of binomial trees model and Black-Scholes model in option pricing [D] . Zhang, Hao 2014

机译：期权定价中二项式树模型和Black-Scholes模型的改进
6. Pricing Interval European Option with the Principle of Maximum Entropy [O] . Xiao Liu, Rongxi Zhou, Yahui Xiong, 2019

机译：定价间隔欧洲期权具有最大熵原理
7. A binomial tree to price European options [O] . Brogi Athos 2010

机译：一个二叉树来定价欧洲期权

A binomial tree to price European options

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