| 期权定价中最优投资问题与算法 |
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| 引用本文： | 于春华,杜雪樵,夏娜.期权定价中最优投资问题与算法[J].合肥工业大学学报(自然科学版),2008,31(11). |
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| 作者姓名： | 于春华 杜雪樵 夏娜 |
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| 作者单位： | 1. 合肥工业大学,数学系,安徽,合肥,230009
2. 合肥工业大学,计算机与信息学院,安徽,合肥,230009 |
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| 基金项目： | 国家自然科学基金，国家自然科学基金 |
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| 摘 要： | 最优投资是期权定价中投资者面对的关键问题,投资者如何选择合适的执行价格和期权的有效期限,以使期权到期日的价格最高,是一个复杂的非线性连续优化问题;文章引入进化计算中的粒子群算法来解决这一问题,提出了一种基于粒子群的期权定价最优投资算法,为投资者提供有效的决策支持;针对Black-Scholes模型进行了算法的设计和实现,并以一个典型算例说明了该算法的有效性。
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| 关 键 词： | 期权定价 投资 粒子群算法 |
Investment optimization algorithm for option pricing |
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| YU Chun-hua,DU Xue-qiao,XIA Na.Investment optimization algorithm for option pricing[J].Journal of Hefei University of Technology(Natural Science),2008,31(11). |
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| Authors: | YU Chun-hua DU Xue-qiao XIA Na |
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| Abstract: | Investment optimization is a key problem in the option pricing.It is a complicated non-linear continuous optimization problem to select the optimal strike price and expiration time in order to maximize the option price.This paper introduces a kind of evolving calculation method,particle swarm optimization,to solve the problem,and presents an investment optimization algorithm for option pricing,which can provide decision support for investors.Based on the Black-Scholes model,the algorithm is designed and realized.Finally,a typical simulation study is carried out to illustrate the validity of the algorithm. |
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| Keywords: | option pricing investment particle swarm optimization(PSO) |
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