二叉树模型的参数估计

Parameter Estimation of Binomial Model

  • 摘要: 二叉树模型是期权定价中被广泛使用的模型之一, 其参数估计对于期权定价具有重要影响. 本文给出了一种二叉树模型参数估计方法, 该方法克服了二叉树模型经典参数估计方法的缺陷, 特别地, 消除了主观概率设定对参数估计的影响.

     

    Abstract: Binomial model is one of widely used models, and its parameters have a great influence on option pricing. In this paper, a new parameter estimation is given for binomial model, which overcomes the fault of usual methods to estimate parameters of binomial models, especially, eliminate the influence of subjective probability.

     

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