| 期权蝶状价差概率模型的进一步分析 |
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| 引用本文： | 王剑君.期权蝶状价差概率模型的进一步分析[J].怀化学院学报,2006,25(8):36-39. |
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| 作者姓名： | 王剑君 |
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| 作者单位： | 湖南工程学院,数理系,湖南,湘潭,411101;湘潭大学,数学与计算科学学院,湖南,湘潭,411105 |
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| 摘 要： | 期权市场蝶状价差的投资者获益具有随机性.在股票价格服从几何布朗运动,从而到期日股价为对数正态分布的条件下,探讨了多头蝶状价差投资者的获益概率和损益函数的数学期望.
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| 关 键 词： | 期权 蝶状价差 概率 损益函数 |
| 文章编号： | 1671-9743(2006)08-0036-04 |
| 收稿时间： | 07 12 2006 12:00AM |
| 修稿时间： | 2006年7月12日 |
Further Analysis of Probability Mldel on Option Butterfly Spread |
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| WANG Jian-jun.Further Analysis of Probability Mldel on Option Butterfly Spread[J].Journal of Huaihua University,2006,25(8):36-39. |
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| Authors: | WANG Jian-jun |
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| Institution: | 1. Department of Mathematics and Physics, Hunan Institute of Engineerning, Xiangtan, Hunan 411101 ; 2. College of Mathematics and Computer Science, Xiangtan University, Xiangtan, Hunan 411105 |
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| Abstract: | On option market the gain of butterfly spread investor is random.Assuming that the stock pricing process is geometric brownian motion and consequently on expiry the stock price follows logarithmic normal distribution,this paper discusses the probability of the long position butterfly investors'profiting and mathematical expectation of its profit function. |
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| Keywords: | option butterfly spread probability profit function |
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