| 漂移项和扩散项具有时滞的股票期权定价 |
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| 引用本文：李亚琼,黄立宏.漂移项和扩散项具有时滞的股票期权定价[J].经济数学,2011,(1):10-13 |
| 摘要点击次数: 2021 |
| 全文下载次数: 237 |
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| 中文摘要:股票价格在漂移项和扩散项具有时滞，且股票在期权有效期内支付连续红利时，利用鞅表示定理和Girsanov定理得到了期权价格的闭式解.研究表明，股票价格在漂移项和扩散项具有时滞时，股票支付红利时对期权价格有一个调整. |
| 中文关键词:股票，期权，时滞，红利，鞅表示定理，Girsanov定理 |
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| Stock Option Pricing of Drift and Diffusion Terms for with Time Delay |
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| Abstract:Useing martingale representation theorem and Girsanov theorem, an option pricing formula was derived for stock payment of continuous dividends with time delay in the diffusion term and drift term. Research shows that stock option price can adjust to stock payment of continuous dividends with time delay in the diffusion term and drift term. |
| keywords:stock option delay dividends martingale representation theorem Girsanov theorem |
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