彭伯堅臺灣大學：數學研究所張洛賓Chang, LobinLobinChang2007-11-282018-06-282007-11-282018-06-282004http://ntur.lib.ntu.edu.tw//handle/246246/59478In a recent article, Heston and Zhou (2000) proved that the rate of convergence of CRR binomial model depends on the smoothness of option payoff function(C2 function) is as fast as 1/n and had proved that the rate of convergence of European call option is as fast as 1/sqrt{n}. (The European call option payoff function is a continuous function, but not C2 function) In 1999, Yisong ``San' Tian developed the Flexible Binomial model and for European call option he discovered that the error ratio in this model tends to 2 by numerical experiment, but he did not give the proof. In this paper, we prove that the rate of convergence of the Digital European call option with discountinuous payoff function is as fast as 1/sqrt{n} . Moreover, in the Flexible Binomial Option Pricing Model,we find the error ratio tends to sqrt{2} and prove this result. In addition, we prove the rate of convergence of European call option is as fast as 1/n and the error ratio tends to 2 for the Flexible Binomial Option Pricing Model.1.Introduction 3 2.The Standard European Call Option And The Digital Call Option 6 3.A Flexible Binomial Option Pricing Model 7 4.The Analysis Of The Binomial Model For The Digital Call Option 9 5.The Analysis Of Binomial Model In Standard European Call Option 16 6.Conclusion 25274509 bytesapplication/pdfen-US買權數位選擇權偏位可變形二項模型Flexible binomial methodtiltdigital optioncall option pricingthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/59478/1/ntu-93-R91221024-1.pdf