| 等鞅测度下的供应链期权合同平价 |
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| 引用本文： | 霍佳震,薛奕达.等鞅测度下的供应链期权合同平价[J].江南大学学报(自然科学版),2008,7(1):105-109. |
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| 作者姓名： | 霍佳震 薛奕达 |
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| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
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| 基金项目： | 国家自然科学基金项目(70772077) |
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| 摘 要： | 研究供应链期权合同间的关系,通过引入资产定价的"鞅"方法,借助测度理论,以供应链达到协调为前提,分析看涨、看跌期权合同的关系,得到等鞅测度下供应链看涨-看跌期权合同平价公式及相关结论,该结论可以为供应链合同选择以及合同组合定价提供新思路.
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| 关 键 词： | 等鞅测度 合同定价 看涨-看跌期权合同平价 |
| 文章编号： | 1671-7147(2008)01-0105-05 |
| 修稿时间： | 2007年8月21日 |
Put-Call Parity of Supply Chain Contract under Equivalent Martingale Measure |
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| HUO Jia-zhen,XUE Yi-da.Put-Call Parity of Supply Chain Contract under Equivalent Martingale Measure[J].Journal of Southern Yangtze University:Natural Science Edition,2008,7(1):105-109. |
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| Authors: | HUO Jia-zhen XUE Yi-da |
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| Abstract: | The paper derives the relationship between different kinds of supply chain option contracts.By introducing the method of "martingale" in the capital asset pricing in finance and measure theory in mathematics,we analyze the relationship between the standard call option contract and the standard put option contract based on supply chain coordination.The equation of put-call parity of supply chain contract is derived under equivalent martingale measure.The train of thought on contracts choosing and pricing in supply chain management is lightened with our conclusion. |
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| Keywords: | equivalent martingale measure contract pricing put-call parity |
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