隨機參數二項式選擇權定價

Abstract

BS模型已經被發現其隱含波動率是隨著時間變動而變動，也就是說在二項式模型當中的上漲下跌幅度參數也是應該要隨著時間變動而變動。然而在二項式選擇權訂價模型當中，依舊是假設上漲下跌幅度參數是固定常數。因此，在這篇論文中我們將探討在這些參數為隨機參數下，將如何做選擇權定價。

The Black and Scholes (1973) model has been extended in several ways. One of these is to allow the volatility of the underlying asset to change over time. That is, binomial parameters u and d must also change over time. In this thesis, we consider inference for the binomial option pricing model with stochastic parameters.