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題 名 | 歐式外匯選擇權二項式模型訂價公式推演=The Binomial Method to Derive European Currency Option Pricing |
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作 者 | 周勝年; | 書刊名 | 德明學報 |
卷 期 | 16 2000.12[民89.12] |
頁 次 | 頁89-103 |
分類號 | 563.2 |
關鍵詞 | Black-scholes模型; 對數常態分配; 外匯選擇權; 利率平價; Binomial option pricing; Black-scholes model; Lognormal distribution; FX option; Interest rate parity; |
語 文 | 中文(Chinese) |
中文摘要 | Black-Scholes模型係最著名的選擇權訂價模型。就技術層面而言顯然相 當複雜,就直覺而言二項式訂價則是淺而易懂。本文係採用較簡單約二項式模型 導引歐式外匯選擇權的訂價公式,二項式模型雖簡單但用途卻非常廣泛。當吾人 將期間無限切割情況下,二項式模型則趨近於Black-Scholes模型。 |
英文摘要 | The Black-Scholes model is certainly the most well-known option pricing model. It issignificantly more complex from a technical standpoint. All the intuition for the problem may beobtained in the simpler setting of the Binomial model. This paper use the binomial method toderive European currency option pricing. Despite its apparent simplicity, the Binomial model isactually a very versatile model. Among other things, the parameters of the Binomial model canbe chosen so that the model approximates the Black-Scholes model arbitrarily closely. |
本系統中英文摘要資訊取自各篇刊載內容。