| 标的资产服从混合过程的期权定价模型 |
| |
| 引用本文： | 马超群,陈牡妙. 标的资产服从混合过程的期权定价模型[J]. 系统工程理论与实践, 1999, 19(4): 41-46. DOI: 10.12011/1000-6788(1999)4-41 |
| |
| 作者姓名： | 马超群 陈牡妙 |
| |
| 作者单位： | 湖南大学国际商学院 |
| |
| 摘 要： | 通过对期权的标的资产（以股票为例）的价格行为过程进行分析，引入一种价格服从混合过程的新模式，改变了Ｂｌａｃｋ－Ｓｃｈｏｌｅｓ期权定价模型的基本假设之一，推导出一种新的期权定价模型，获得了较理想的结果.
|
| 关 键 词： | 期权定价 混合过程 标的资产 |
| 修稿时间： | 1998-10-19 |
Option Pricing Model Whose Underlying Asset Pricing Process Is Mixed Process |
| |
| MA Chaoqun,CHEN Mumiao. Option Pricing Model Whose Underlying Asset Pricing Process Is Mixed Process[J]. Systems Engineering —Theory & Practice, 1999, 19(4): 41-46. DOI: 10.12011/1000-6788(1999)4-41 |
| |
| Authors: | MA Chaoqun CHEN Mumiao |
| |
| Affiliation: | International Business School, Hunan University |
| |
| Abstract: | By analizing the behavior of underlying asset price and changing the basic assumption of Black Scholes option pricing model to the assumption that the underlying asset pricing process is a mixed process, we obtain the presentation of a new model for option pricing whose underlying asset pricing process is mixed process and improve some original results. |
| |
| Keywords: | option pricing mixed process underlying asset |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
|
点击此处可从《系统工程理论与实践》下载全文 |
