The Long Correlation Option Pricing based on Binary Tree Model

DOI

10.2991/icmsa-15.2015.140How to use a DOI?

Keywords

Binary Tree, No Arbitrage, Markov Column, Long Correlation, European Call Option.

Abstract

In order to price stock option better, it gets a new process of stock price which has a long correlation of binary tree based on classic financial random binary tree with no-arbitrage asset pricing model. We think investors drive the price of the stock and suppose that the premise of stock price which don’t obey Markov column. And we price option of stuck by Matlab 7.0( a computer software). So it also gets a new pricing method on European stock call option. In this way, we can price other option better.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Gui-Bin Hu
AU  - Rui-Jia Zhang
AU  - Xiang-Xing Tao
PY  - 2014/06
DA  - 2014/06
TI  - The Long Correlation Option Pricing based on Binary Tree Model
BT  - Proceedings of the 2015 International Conference on Material Science and Applications
PB  - Atlantis Press
SP  - 765
EP  - 770
SN  - 2352-541X
UR  - https://doi.org/10.2991/icmsa-15.2015.140
DO  - 10.2991/icmsa-15.2015.140
ID  - Hu2014/06
ER  -