金融百科  > 所属分类  >  Options & Futures-期权和期货   
[0] 评论[0] 编辑

Lattice-Based Model

An option pricing model that involves the construction of a binomial tree to show the different paths that the underlying asset may take over the option's life. A lattice model can take into account expected changes in various parameters such as volatility over the life of the options, providing more accurate estimates of option prices than the Black-Scholes model. The lattice model is particularly suited to the pricing of employee stock options, which have a number of unique attributes.

The lattice model's flexibility in incorporating expected volatility changes is especially useful in certain circumstances, such as pricing employee options at early-stage companies. Such companies may expect lower volatility in their stock prices in the future as their businesses mature. This assumption can be factored into a lattice model, enabling more accurate option pricing than the Black-Scholes model, which inputs the same level of volatility over the life of the option.



附件列表


0

词条内容仅供参考,如果您需要解决具体问题
(尤其在法律、医学等领域),建议您咨询相关领域专业人士。

如果您认为本词条还有待完善,请 编辑

上一篇 Last Trading Day    下一篇 Leg

相关标签

热门标签