| 变系数Black-Scholes模型有红利支付下的欧式期权定价估计 |
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| 引用本文： | 张东云.变系数Black-Scholes模型有红利支付下的欧式期权定价估计[J].郑州大学学报(自然科学版),2014(3):41-44. |
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| 作者姓名： | 张东云 |
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| 作者单位： | 河南师范大学商学院,河南新乡453007 |
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| 基金项目： | 国家自然科学基金资助项目,编号71203056;河南师范大学青年骨干教师培养项目,编号051. |
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| 摘 要： | 主要研究变系数Black-Scholes模型有红利支付下的欧式期权定价的估计问题.首先,构造了波动率函数的估计量,并讨论了所得估计的强收敛性、渐近正态性和收敛速度.然后,基于波动率函数的估计,利用期权定价公式得到了变系数Black-Scholes模型有红利支付下的欧式期权价格的估计.最后,证明了所得估计量是期权价格的强相合估计.
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| 关 键 词： | 变系数Black-Scholes模型 波动率函数 期权定价 估计 强相合性 |
The Estimation of European Pricing Options on Dividend-paying Stocks for Black-Scholes Models with Time-varying Coefficients |
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| ZHANG Dong-yun.The Estimation of European Pricing Options on Dividend-paying Stocks for Black-Scholes Models with Time-varying Coefficients[J].Journal of Zhengzhou University (Natural Science),2014(3):41-44. |
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| Authors: | ZHANG Dong-yun |
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| Institution: | ZHANG Dong-yun ( Business School, Henan Normal University, Xinxiang 453007, China) |
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| Abstract: | The estimation of European pricing options on dividend-paying stocks for Black-Scholes models with time-varying coefficients was studied. Firstly, the estimation of the volatility function of our models was proposed, and the strong convergence, asymptotic normality and convergence rate of the estimation were discussed. Secondly, based on the estimation of the volatility function, the estimation of European pricing options on dividend-paying stocks for Black-Scholes models with time-varying coefficients was obtained by using the pricing formula for European options. Finally, the strong consistency of the estimation of the pricing option was proved. |
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| Keywords: | Black-Scholes models with time-varying coefficients volatility function pricing option estimation strong consistency |
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