摘要
文中在(Ω,F)上严格构造了与概率测度等价的鞅测度,并导出了期权定价公式;进一步给出利用F分布查表计算期权定价的公式。
In binomial model, people attempt to give a measure Q equavilent to probality P, but, up to now, People always make a mistake to think that a probality distribution series in measure P is the ＂Q＂. Here we have notonly pointed this fault, but also we have srictly formated a new one. Furtherly,We proved that V, is a martingale in this new ＂Q＂ which led to the formula of pricing of european options. Besides ,We also give these formulas some improvments,which make almost everyone can calculate the price conviniently.
出处
《青岛大学学报（自然科学版）》
CAS
2006年第3期1-6,17,共7页
Journal of Qingdao University(Natural Science Edition)
关键词
二叉树
等价鞅测度
期权定价
F分布
binomial tree
equavalent martimgale measure
expection price
F distribution
