DocumentCode
2344031
Title
The Binomial Option Pricing Models with Different Parameters
Author
Lu, Lijuan ; Hu, Yunjiao ; Zhou, Rongxi
Author_Institution
Coll. of Sci., Beijing Univ. of Chem. Technol., Beijing, China
fYear
2011
fDate
15-19 April 2011
Firstpage
215
Lastpage
218
Abstract
Probability theory is used to construct a new type of binomial parameter model, which can avoid negative probability. A detailed proof is given for the generalized binomial model where an extended parameter is added to. The European options and Asian options are priced respectively by numerical examples. The results show that all the binomial models with different parameters have excellent convergence. In addition, the convergence of the generalized binomial model is more stable.
Keywords
pricing; probability; share prices; Asian options; European options; binomial option pricing models; probability theory; Biological system modeling; Convergence; Europe; Lattices; Mathematical model; Numerical models; Pricing; binomial tre; convergence; extended parameter; option pricing;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location
Yunnan
Print_ISBN
978-1-4244-9712-6
Electronic_ISBN
978-0-7695-4335-2
Type
conf
DOI
10.1109/CSO.2011.258
Filename
5957645
Link To Document