1二项树定价模型(国外英语资料).doc

1二项树定价模型(国外英语资料) The fifth chapter is the two item tree pricing model In this chapter, we discuss the two tree pricing model of options and futures, which provides a simple but powerful method for understanding the pricing and hedging of derivative securities. So far, there are three different options pricing models. The first model was created by Black and Scholes (1973). No friction, in the market can be continuous trading under the assumption that the stock held by the long positions, and to hold European option stock for the subject of the short positions, the formation of a risk free portfolio hedging. This idea is the key to solve the option pricing problem. The second model starts with Harrison and Kreps (1979). Under the assumption that the market is frictionless and complete, the market free arbitrage is equivalent to the existence of the unique equivalent martingale measure, and the discounted price of any securities in this market is a martingale under this measure. The third is a more intuitive model. The model employs two item distributions, independently obtained by Cox, Ross, and Rubinstern (1979), Rendleman and Bartter (1979). The first two models require complex mathematical tools such as stochastic differential equations and martingales. In addition to being easy to understand, there are third models -- the two tree pricing model. It not only provides closed form solutions for European call options, but also provides solutions to the more complex American option pricing problem with numerical calculations. So, in this chapter we introduce third models -- two tree pricing model. The model was put forward by Sharpe (1978), and Cox, Ross, and, Rubinstein (1979) expanded it. Although initially proposed two tree pricing model in order to avoid the stochastic analysis to explain the Black-Scholes-Merton model, but now it has become a model of numerical pricing on complex derivative securities standard calculation program. Regarding the latter two models,