m******o
发帖数: 6 | 1 没想明白，假设stock price在option到期间任何时刻到达10块钱，在期末option
holder就可以得到1块钱，如何用binomial tree对这个期权定价？
如果只是到期日到达10块给1块就好处理。谢谢。 | q********u
发帖数: 53 | 2 In Excel
1) building trees time 0 to time T steps N+1 delta_t=T/N
2) at each nodes at time t, if S at that level satisfies Barrier, the node
value is 10*exp(-r(T-t)), otherwise, leave it blank. After this step, we
can the final nodes value at time T and all the nodes values that satisfies
the barriers. Others are blank
3) calculate pu, pd, discount back to initial nodes, only need to fill in
the blank nodes. | m******o
发帖数: 6 | 3 many thanks, qxfromsjtu. |
|
