基于投资犹豫的欧式期权定价模型

文章首先引入三角直觉模糊数来刻画投资者的犹豫程度和期权价格估计的不确定性,构建了基于三角直觉模糊数的Black-Scholes期权定价模型,并用风险中性的方法给出了欧式期权价格的解析表达式,该结论是Yoshida更一般的情况.然后,本文进行了数值分析,给出了欧式期权价格的区间值,并进行了参数敏感性分析.研究结果表明:基于三角直觉模糊数的Black-Scholes期权定价模型更能体现投资者的犹豫程度.

Pricing European options based on the hesitation degree of investors

Initially, this paper portrays the hesitancy degree of investors and the uncertainty of the estimated value of options price. We construct a novel Black-Scholes option pricing model under the triangular intuitionistic fuzzy number. And we get the explicit analytical solution of European options by taking advantage of the risk neutral pricing method. Then we give the numerical analysis and get the interval value of the options price. Eventually, this paper analyzes the sensibility of parameters of European options price' formula. The results show that the model based on the triangular intuitionistic fuzzy number can reflect the hesitancy degree of investors much better than other models.