| 倒向随机微分方程在欧式看涨期权中的应用 |
| |
| 引用本文： | 丁黎明,丁亮.倒向随机微分方程在欧式看涨期权中的应用[J].淮北煤炭师范学院学报(自然科学版),2014(4):8-11. |
| |
| 作者姓名： | 丁黎明 丁亮 |
| |
| 作者单位： | 淮北职业技术学院 基础部,安徽 淮北,235000 |
| |
| 基金项目： | 安徽省高校青年教师资助计划项目 |
| |
| 摘 要： | 利用倒向随机微分方程解的有关理论及Ocone鞅的性质，分析欧式看涨期权的完全套期保值性，给出了欧式看涨期权确定价格的概率解。
|
| 关 键 词： | 倒向随机微分方程 Ocone鞅 欧式看涨期权 完全套期保值性 概率解 |
The Application of Backward Stochastic Differential Equation to European Call Option |
| |
| DING Li-ming,DING Liang.The Application of Backward Stochastic Differential Equation to European Call Option[J].Journal of Huaibei Coal Industry Teachers College(Natural Science edition),2014(4):8-11. |
| |
| Authors: | DING Li-ming DING Liang |
| |
| Institution: | (Department of Basic Courses, Huaibei Professional and Technical College,235000,Huaibei,Anhui,China) |
| |
| Abstract: | The knowledge of the solution of backward stochastic differential equation and the nature of Ocone martingale are used to analyze the complete hedging nature of the European call option,and the probability solution of the European call option is given. |
| |
| Keywords: | backward stochastic differential equation Ocone martingale European call option complete hedg-ing nature probability solution |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
