m******n
发帖数: 354 | 1 请问银行实际操作时有用binomial tree的吗，还是都用black-scholes公式啊？
如果有用二叉树的话， 是用JR的多还是用CRR的多呢？谢谢！ |
m******n
发帖数: 354 | 2 没有人回啊。
抱歉，可能我没有把问题说清楚。
真诚向大家请教下面的两个问题，不胜感激！
二叉树都是假设股价的binomial distribution来逼近log-normal distribution.
问题一：而B-S formula是时间段无限小的二叉树，即连续形式，是真正的log-normal,
那二叉树还有什么意义呢，实际工作中还会有人用么？
JR (Jarrow-Rudd) -tree 和 CRR (Cox-Ross-Rubinstein) -tree假设的incremental
price change, 也就是up and down multiplier不同，因此相应的tree probabilities
也不同，但当然都是为了要逼近log-normal distribution. (所以也可能存在别的tree
model?)
小弟我试了一下JR和CRR和B-S，发现JR-tree的定价结果要远比CRR-tree的更接近B-S
formula的值。
问题二：为什么大多数的经典书籍，包括被奉为“bible”的john hull那本也都只介绍
CRR-tree呢，难道在实际 |
z****u
发帖数: 185 | 3 you don't always have analytical formula. For example, when you have
dividends. |
m******n
发帖数: 354 | 4 一语点醒梦中人啊，太感谢了！
第二个问题能也指教一下吗？
【在 z****u 的大作中提到】
: you don't always have analytical formula. For example, when you have
: dividends.
|
B*********h
发帖数: 800 | 5 all single stock options are American options. Black-scholes is useless by
itself.
many firms use trees for pricing Americans, convergence is not as fast as
PDE methods, but OK. most model the value of an American as the sum of the
european value PLUS early exercise value.
Now you could use BS to price the first component, and trees to price the
second component. by doing this you ensure that when pricing a European
option with BS or such a BS+Tree method, the prices agree. also speeds up
conver
【在 m******n 的大作中提到】
: 请问银行实际操作时有用binomial tree的吗，还是都用black-scholes公式啊？
: 如果有用二叉树的话， 是用JR的多还是用CRR的多呢？谢谢！
|
m******n
发帖数: 354 | 6 太牛了，难怪有offer :-)
我想我明白了，诚心感谢！
【在 B*********h 的大作中提到】
: all single stock options are American options. Black-scholes is useless by
: itself.
: many firms use trees for pricing Americans, convergence is not as fast as
: PDE methods, but OK. most model the value of an American as the sum of the
: european value PLUS early exercise value.
: Now you could use BS to price the first component, and trees to price the
: second component. by doing this you ensure that when pricing a European
: option with BS or such a BS+Tree method, the prices agree. also speeds up
: conver
|
q***t
发帖数: 21 | 7
I guess you are talking about using multi-euro options to
approximate american options.
Shouldn't that be called calibration?
【在 B*********h 的大作中提到】
: all single stock options are American options. Black-scholes is useless by
: itself.
: many firms use trees for pricing Americans, convergence is not as fast as
: PDE methods, but OK. most model the value of an American as the sum of the
: european value PLUS early exercise value.
: Now you could use BS to price the first component, and trees to price the
: second component. by doing this you ensure that when pricing a European
: option with BS or such a BS+Tree method, the prices agree. also speeds up
: conver
|
n********6
发帖数: 1511 | 8 I know binomial tree and real option are used in valuating energy project
risks.
E.g.
An energy project is expected to last for four years.
Start with no later than two years from now.
With the planned capacity of 40MW, with the option to add 50MW more.
【在 m******n 的大作中提到】
: 请问银行实际操作时有用binomial tree的吗，还是都用black-scholes公式啊？
: 如果有用二叉树的话， 是用JR的多还是用CRR的多呢？谢谢！
|
