两股票情形下欧式期权定价新方法
    点此下载全文
引用本文:王锐.两股票情形下欧式期权定价新方法[J].经济数学,2012,(2):52-56
摘要点击次数: 980
全文下载次数: 183
作者单位
王锐 (山东大学 数学学院山东 济南250100) 
中文摘要:假定股票价格服从布朗运动驱动的随机微分方程,从随机动力学的角度出发考虑欧式期权定价问题.由Fokker-Planck-Kolmogrov得到了股票价格过程的概率转移密度函数,基于此,可以求得两股票情形下各种欧式类型未定权益的定价公式.为欧式期权定价提供了一个新方法.
中文关键词:欧式期权定价  随机动力理论  Fokker-Planck-Kolmogrov方程
 
A New Method for European Option Pricing With Two Stocks
Abstract:Assuming that the stock price obeys the stochastic differential equation driven by Brownian motion, European option pricing with two stocks was considered by using stochastic dynamic theory at first time. The density function of stock process was obtained by using Fokker-Planck-Kolmogrov equation. Then, the price explicit expression of the European option was given. It provides a new method for European option pricing.
keywords:European option pricing  stochastic dynamic theory  Fokker-Planck-Kolmogrov equation
查看全文   查看/发表评论   下载pdf阅读器