| 标的股票服从分数几何Liu过程的双向期权定价模型 |
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| 引用本文： | 曾宁宁,胡华. 标的股票服从分数几何Liu过程的双向期权定价模型[J]. 宁夏师范学院学报, 2011, 32(6): 82-87 |
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| 作者姓名： | 曾宁宁 胡华 |
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| 作者单位： | 宁夏大学数学计算机学院,宁夏银川,750021 |
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| 基金项目： | 宁夏自然科学基金资助项目(NZ1050);宁夏研究生教育创新计划项目(2010) |
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| 摘 要： | 期权定价一直是现代金融领域研究的核心.考虑到现实金融环境中存在着大量的模糊性,在标的股票遵循分数几何Liu过程的假设下,研究双向欧式期权的定价问题.给出了双向欧式期权在模糊金融市场条件下的定价模型,并在不同参数值的情况下给出数值算例.
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| 关 键 词： | 双向期权 定价模型 分数几何Liu过程 模糊过程 |
Bi-direction European Option Pricing Formula for Stock Price Follow Geometric Fractional Liu Process |
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| ZENG Ningning,HU Hua. Bi-direction European Option Pricing Formula for Stock Price Follow Geometric Fractional Liu Process[J]. Journal of Ningxia Teachers College, 2011, 32(6): 82-87 |
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| Authors: | ZENG Ningning HU Hua |
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| Affiliation: | (School of Mathematics and Computer Science,Ningxia University,Yinchan 750021,China) |
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| Abstract: | the option pricing problem is one of central contents in modern.nance.considering a lot of fuzzy exist in the actual financial conditions,This paper deals with the pricing of bi-direction European option.umder the assume that stock price follow geometric fractional Liu process,bi-direction European option pricing formula is obtained and examples are calculated with di.erent parameters. |
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| Keywords: | Bi-direction European option Option pricing formula Geometric fractional Liu process Fuzzy process |
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