| 金融领域的随机建模与基于软件R的Monte Carlo模拟(2):Cox-Ross-Rubinstein模型 |
| |
| 引用本文： | 毛学荣,李晓月.金融领域的随机建模与基于软件R的Monte Carlo模拟(2):Cox-Ross-Rubinstein模型[J].南京气象学院学报,2015,7(2):125-132. |
| |
| 作者姓名： | 毛学荣 李晓月 |
| |
| 作者单位： | 斯特莱斯克莱德大学 数学系, 格拉斯哥, G1 1XT, 英国;东北师范大学 数学与统计学院, 长春, 130024 |
| |
| 基金项目： | 国家自然科学基金(11171056,11171081) |
| |
| 摘 要： | 主要讨论了 Cox-Ross-Rubinstein (CRR) 模型和广义的CRR模型,并研究了如何基于CRR模型和广义的CRR模型利用Monte Carlo模拟计算资产价格以及期权价值.
|
| 关 键 词： | CRR模型 Monte Carlo模拟 期权定价 二项分布 |
| 收稿时间： | 2014/9/13 0:00:00 |
Stochastic modelling in financeand Monte Carlo simulations with R. Part B:Cox-Ross-Rubinstein model |
| |
| MAO Xuerong and LI Xiaoyue.Stochastic modelling in financeand Monte Carlo simulations with R. Part B:Cox-Ross-Rubinstein model[J].Journal of Nanjing Institute of Meteorology,2015,7(2):125-132. |
| |
| Authors: | MAO Xuerong and LI Xiaoyue |
| |
| Institution: | Department of Mathematics and Statistics, University of Strathclyde, Glasgow, G1 1XT, Scotland, UK;School of Mathematics and Statistics, Northeast Normal University, Changchun 130024 |
| |
| Abstract: | The key aim of this serial articles is to study various stochastic models in finance with emphasis on the Monte Carlo simulations with R for these models.This paper studies the Cox-Ross-Rubinstein (CRR) model and the generalized CRR model.Moreover,this paper discusses how to perform Monte Carlo simulations on the asset price and to obtain the approximate values of options. |
| |
| Keywords: | the CRR model Monte Carlo simulations option value binomial distribution |
|
| 点击此处可从《南京气象学院学报》浏览原始摘要信息 |
| 点击此处可从《南京气象学院学报》下载免费的PDF全文 |
