Matlab Algorithm of A Specil European Option Pricing Model
REN Fangling
QIAO Kelin
Abstract：In this paper,for a kind of European call option pricing model with stock price's Brownian and Poisson process,transaction cost and continuous dividend,aiming at the complexity of its differential equation solution and numerical solution,the Matlab algorithm of option price's analytical solution,the Matlab algorithm of Binomial tree,Triple tree model's numerical solution are studied,Thus the process of option pricing is greatly simplified.Finally,through the example study,comparing the difference of three kinds of algorithm results,the influence degree for option pricing results of every parameter in this model is analyzed,which can provide certain technology support to the production of all kinds of new op-tions.
Keywords：option pricingbinomial tree modeltriple tree modelMatlab algorithm
Publication Date：2016-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：5( 1195-1199 )