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
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;
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
DOI :
10.1109/CSO.2011.258
