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由于信息不完全和市场冲击,经典期权定价理论的股票波动率不能准确得到,从而导致期权的理论价格和实际价格出现偏差。本文假设可以通过相关的有限信息信号对波动率进行推断,基于二叉树框架对欧式看涨期权进行定价,得到了不完全信息下期权价格的定价区间,并研究了影响期权价格上下界的因素。通过对单期模型和多期模型、单信号和多信号模型的分析表明,信息质量的提高使得定价区间变小,从而提高定价的准确性。本文的模型也能包容波动率为随机变量的期权模型,是经典二叉树模型的推广。
Due to incomplete information and market impact, the stock option volatility of classical option pricing theory can not be obtained accurately, which leads to the deviation between the theoretical price and the actual price of the option. In this paper, we assume that the volatility can be inferred based on the relevant limited information signals, the price of European call options is obtained based on the binary tree framework, the price interval of option pricing under incomplete information is obtained, and the factors affecting the upper and lower option prices are studied. Through the single-period model and multi-period model, single signal and multi-signal model analysis shows that the improvement of information quality makes the pricing interval smaller, so as to improve the pricing accuracy. The model of this paper can also include the option model with volatility as a random variable, which is the promotion of the classic binary tree model.