基于二叉树方法的障碍期权与标准期权价差分析模型

摘要/Abstract

摘要： 运用二叉树方法建立了障碍期权与标准期权之间的价差分析模型，并分析了影响价差的若干关键因素.结果表明，障碍期权的价值低于对应的标准期权；对于下降敲出看涨期权，若障碍值或行权价越高、有效期越长、标的物的价格越低、其期望收益率越小、波动率越大，则障碍期权与标准期权的价差越大.
关键词：

关键词: 障碍期权, 期权价差模型, 二叉树方法

Abstract: The binomial pricing method was adopted to build a pricing model for the value difference between barrier and vanilla options which are different only in barrier, as well as the impacts of several key factors on the price difference. The outcomes indicate that the value of the barrier option is lower than that of the vanillar option. Moreover, for the downandout call options, the price difference gets bigger with any of the situations which are higher barrier, higher call price, longer maturity, lower underlying asset price, and smaller expected return rate or bigger volatility of the underlying asset price.

Key words: barrier options, value difference pricing model, binomial pricing method

中图分类号:

F 830.9

胡文伟1, 李湛2. 基于二叉树方法的障碍期权与标准期权价差分析模型[J]. 上海交通大学学报（自然版）, 2012, 46(05): 825-831.

HU Wen-Wei-1, LI Zhan-2. Pricing Value Difference between Barrier and Vanilla Options with Binomial Pricing Method[J]. Journal of Shanghai Jiaotong University, 2012, 46(05): 825-831.

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