资源描述：
《2012年全国计算机等级考试二级vb大纲考纲（in 2012 the national computer rank examination two vb outline outline）》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
1、2012年全国计算机等级考试二级vb大纲考纲（In2012theNationalComputerRankExaminationtwoVBoutlineoutline）ThefifthchaptertwotreepricingmodelInthischapter,wediscussthetwotreepricingmodelofoptionsandfutures.Thismodelprovidesasimplebutpowerfulmethodforunderstandingthepricingandhedgingofderivativese
2、curities.Sofar,therearethreedifferentoptionspricingmodels.ThefirstmodelisbuiltbyBlackandScholes(1973).Nofriction,inthemarketcanbecontinuoustradingundertheassumptionthatthestockheldbythelongpositions,andtoholdEuropeanoptionstockforthesubjectoftheshortpositions,theformationo
3、fariskfreeportfoliohedging.Thisideaisthekeytosolvetheoptionpricingproblem.ThesecondmodelstartswithHarrisonandKreps(1979).Undertheassumptionthatthemarketisfrictionlessandcomplete,themarketfreearbitrageisequivalenttotheexistenceoftheuniqueequivalentmartingalemeasure,andthedi
4、scountedpriceofanysecuritiesinthismarketisamartingaleunderthismeasure.Thethirdisamoreintuitivemodel.Thismodelusestwoitemdistributions,whichareindependentlyobtainedbyCox,RossandRubinstern(1979),RendlemanandBartter(1979).Thefirsttwomodelsrequirecomplexmathematicaltoolssuchas
5、stochasticdifferentialequationsandmartingales.Inadditiontoeasyunderstanding,thethirdmodel--thetwotreepricingmodel.ItnotonlyprovidesclosedformsolutionforEuropeancalloption,butalsoprovidessolutiontothemorecomplexAmericanoptionpricingproblemwithnumericalcalculationmethod.So,i
6、nthischapter,weintroducethirdmodels--thetwotreepricingmodel.ThemodelwasputforwardbySharpe(1978),andCox,RossandRubinstein(1979)expandedit.AlthoughinitiallyproposedtwotreepricingmodelinordertoavoidthestochasticanalysistoexplaintheBlack-Scholes-Mertonmodel,butnowithasbecomeam
7、odelofnumericalpricingoncomplexderivativesecuritiesstandardcalculationprogram.Withregardtothelattertwomodels,wediscusstheminlaterchapters.Whenapplyingthetwotreepricingmodel,themostimportantthingistheconceptofconstruction(synthetic)orhedging.Inordertocalloptionpricing,thest
8、ockandbondareusedtocopytheoptionvalue.Thisportfolioiscalledasyntheticcalloption.Fromtheno
