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| 高斯移动平均环境下带时滞的期权定价模型 | |
| 引用本文： | 李之鑫,乔建华,边崇. 高斯移动平均环境下带时滞的期权定价模型[J]. 苏州科技学院学报(自然科学版), 2011, 28(4): 12-21,31 |
| 作者姓名： | 李之鑫 乔建华 边崇 |
| 作者单位： | 1. 东华大学理学院,上海,201620 2. 汝南县张楼中心学校,河南汝南,463300 3. 爱荷华州立大学文理学院．美国50012 |
| 基金项目： | 国家自然科学基金资助项目 |
| 摘 要： | 在Black-Scholes公式的基础上建立了带时滞的欧式期权定价模型。该模型中用高斯移动平均过程取代标准布朗运动,并且假设模型满足一些条件以保证市场的完备性。由此建立的模型可以更好地描述真实环境下的市场特征。最后,该文给出了在一个等价鞅测度下的无套利原理以及较为精确的套期保值策略。 |
| 关 键 词： | 高斯移动平均过程 等价鞅测度 期权定价 带时滞的随机微分方程 |
Gaussian moving average and delayed option pricing model |
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| LI Zhixin,QIAO Jianhua,BIAN Chong. Gaussian moving average and delayed option pricing model[J]. Journal of University of Science and Technology of Suzhou, 2011, 28(4): 12-21,31 | |
| Authors: | LI Zhixin QIAO Jianhua BIAN Chong |
| Affiliation: | LI Zhixin1,QIAO Jianhua2,BIAN Chong3(1.Department of Mathematics,Donghua University,Shanghai 201620,China,2.Zhanglou Central School,Runan County,Runan 463300,3.College of Liberal Arts and Sciences,Iowa State University,Iowa 50012,America) |
| Abstract: | Based on Black-Scholes formula,a delayed European option pricing model was constructed.Standard Brownian motion was replaced by Gaussian moving average process and certain conditions were satisfied to ensure the completeness of the market.It is believed that the proposed model is realistic enough to fit the real market data.Finally,we put forth the no-arbitrage property and an explicit hedging strategy under the equivalent martingale measure. |
| Keywords: | Gaussian moving average process equivalent martingale measure option pricing stochastic delay differential equation |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |