Arial Research On The Pricing Of Swing Options Based On Trinomial Tree Model

Option is a kind of important financial derivative product,which pricing methods have been the core of the financial sector.Trinomial tree method is one of the numerical pricing methods for financial derivatives.It's not only possesses the advantages of straightforward,easy to operation,but also the higher accuracy.This article based on introducing the definition of swing option,terms and its prop-erty,researching multilayer trinomial tree model of Regime-switching characteristics.This model can fully consider good,bad and stable,and predict the price change trend of underlying asset under this three smooth three market,thus solving the problem of the capital asset pricing.On this basis,this article under the chosen some term for the swing option,using multilayer trinomial tree model and "reverse" pricing methods,put forward the swing option's pricing methods,which have local effect.The structure of the arrangement is as follows:In chapter 1,introduce the pricing methods and the trinomial tree model's research progress both at home and abroad for swing option,and then make a briefly description the main work of this article.In chapter 2,as preparatory knowledge,this paper introduces the definition,se-lected terms and properties for swing option.In chapter 3,under the assumption that the underlying asset price follows the stan-dard Brownian motion,Origin moment and the central moment method was used to de-duce the parameters of the traditional trinomial tree model.Next,the Regime-switching matrix are used to describe three states of the market,and when the experiment accord-ing to the theory of probability and mathematical statistics the number of times is large enough,frequency can also serve as an approximation of probability this conclusion,using statistics to estimate the Regime-switching matrix.And on the basis of the tradi-tional parameters of trinomial tree model,constructs the trinomial tree pricing model in the case of Regime-switching.In chapter 4,based on the trinomial tree pricing model in the third chapter,giving multilayer trinomial tree pricing methods for the swing option's selected terms by using"reverse" pricing methods,and have one empirical study according to the swing option for actual situation.