A Trinomial Option Pricing Model Based on Bayesian Markov Chain Monte Carlo Method

This paper proposes a trinomial option pricing model based on Bayesian Markov Chain Monte Carlo Method.By using the actual data of the Chinese warrant market,the trinomial option pricing model is compared with the classical binomial tree model,the classical trinomial tree model,the BS model and the warrant price.The results show that the price deviation of the trinomial tree option pricing model based on Bayesian MCMC method is the smallest than any other models,although they all underestimate the market price.Especially,the price deviation of trinomial tree model based on Bayesian MCMC method is less than the classical BS model price at large time steps.