梯形模糊数下的资产期权定价模型

在现实金融世界中,投资者利用期权交易的目的主要是进行套期保值.然而由于金融产品市场价格的随机性,期权的交易仍然存在很大的风险.理论上,如果在期权定价中引入模糊的概念,那么投资者可能会拥有更多的机会来考虑他们的决策,从而减少投资风险,获取利益.针对二元期权中的资产期权,考虑标的资产价格在交易期末的不确定性或模糊性,在传统期权定价模型的基础上,应用梯形的隶属函数,将标的资产期末价格模糊化,建立了一种新的资产期权定价模型.

Asset option pricing model with trapezoid fuzzy number

In the real world of finance,investors using options trading is the main purpose of hedging.However,due to the stochastic nature of financial products in the market prices of options trading,there is still a big risk.In theory, if introduct fuzzy concept in option pricing,investors may have more opportunities to consider their decision making, thus reduce the investment risk,acquire profit.For the option of binary,considering the uncertainty or ambiguity of the underlying asset price in the final transactions,used the trapezoidal membership function option to fuzzy the underlying asset price,established a new asset option pricing model based on the traditional option pricing model.