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实物期权的三叉树定价模型

2005-11-15分类号:F224;

【作者】丁正中  曾慧
【部门】浙江工商大学   浙江工商大学统计与计算科学学院
【摘要】The numerical computation of real option value is very important in the evaluating of venture investment.We develops a trinomial tree pricing model of the real option,proves that the equation of real option value under trinomial tree model is approximate to Black-Scholes equation.It is obvious that trinomial model is excelled than binomial tree model in precision and calculation from an example.
【关键词】风险投资  实物期权  Black-Scholes期权定模型  三叉树模型  二叉树模型
【基金】
【所属期刊栏目】统计研究
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