Option Pricing Method in a Market Involving Interval Number Factors
F0; The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the...
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| Veröffentlicht in: | 东华大学学报（英文版） 2005, Vol.22 (4), p.47-51 |
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| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | F0; The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed. |
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| ISSN: | 1672-5220 |