| 2个数学模型下的铜期权定价比较 |
| |
| 引用本文： | 王晚生,莫英,邓丹丹,郭永红.2个数学模型下的铜期权定价比较[J].吉首大学学报(自然科学版),2000,41(3):58. |
| |
| 作者姓名： | 王晚生 莫英 邓丹丹 郭永红 |
| |
| 作者单位： | （1.长沙理工大学数学与统计学院，湖南 长沙 410114；2.上海师范大学数理学院，上海 200234） |
| |
| 摘 要： | 将估计的参数代入Black-Scholes模型和Merton跳-扩散模型，计算铜期权的认购期权合约在到期日之前的理论价格.对比2个模型的铜期权理论价格与实际期权价格发现，Merton跳-扩散模型的定价效果比Black-Scholes模型的更优，且在定价过程中Merton跳-扩散模型更稳定.
|
Comparason of Copper Options Based on Two Mathematical Models |
| |
| WANG Wansheng,MO Ying,DENG Dandan,GUO Yonghong.Comparason of Copper Options Based on Two Mathematical Models[J].Journal of Jishou University(Natural Science Edition),2000,41(3):58. |
| |
| Authors: | WANG Wansheng MO Ying DENG Dandan GUO Yonghong |
| |
| Institution: | (1. School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410114, China;2. School of Mathematics and Physics, Shanghai Normal University, Shanghai 200234, China) |
| |
| Abstract: | The estimated parameters were substituted into the black-scholes model and the Merton jump-diffusion model to calculate the theoretical price of the call option contract of the copper option before the expiration date.By comparing the theoretical price of copper options in the two models with the actual option price, it is found that the Merton jump-diffusion model is more stable than the black-scholes model in the pricing process. |
| |
| Keywords: | Black-Scholes model Merton jump-diffusion model copper option option price |
|
| 点击此处可从《吉首大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《吉首大学学报(自然科学版)》下载免费的PDF全文 |
