简单(哲学)
一般化
限制
套利
数理经济学
布莱克-斯科尔斯模型
期权估价
经济
二项期权定价模型
计算机科学
亚式期权
数学优化
精算学
计量经济学
数学
金融经济学
认识论
工程类
哲学
数学分析
波动性(金融)
机械工程
作者
John C. Cox,Stephen A. Ross,Mark Rubinstein
标识
DOI:10.1016/0304-405x(79)90015-1
摘要
This paper presents a simple discrete-time model for valuing options. The fundamental economic principles of option pricing by arbitrage methods are particularly clear in this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Black-Scholes model, which has previously been derived only by much more difficult methods. The basic model readily lends itself to generalization in many ways. Moreover, by its very construction, it gives rise to a simple and efficient numerical procedure for valuing options for which premature exercise may be optimal.
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