基于交易成本和红利的欧式期权二叉树模型及算法

doi:10.3976/j.issn.1002-4026.2018.05.016

Abstract

Abstract:

Binomial tree diagram method is an important numerical method in option pricing theory. The typical binomial tree model is established on the basis of no transaction costs and dividends. However, in this paper, we considered binomial tree diagram of European option with transaction costs and dividends, and gave the binomial tree model of European option from two aspects: the known dividend rate and transaction costs ratio，and the known bonus amount and transaction costs amount.Combined with the typical matrix algorithm of binomial tree model，the matrix algorithm and MATLAB programming language of the modified binomial tree model were obtained, which was more convenient to be used in the actual financial markets.

Key words: European option, transaction costs, dividends, binomial tree diagram, matrix

CLC Number:

REN Fang-ling,JIANG Deng-zhi. Binomial tree model and algorithm for European option based on transaction costs and dividends[J].SHANDONG SCIENCE, 2018, 31(5): 101-108.

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Binomial tree model and algorithm for European option based on transaction costs and dividends

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