摘要
在期权定价的Black-Scholes模型的基础上,建立了期权定价的分布参数模型.在期权到期日期权价格最高的目标下,将问题转换为非线性规划问题,设计了模拟退火求解期权定价的方法.最后,应用模拟退火算法,求解贴现价格、履约价格.结果表明,上述工作对于期权定价问题的研究具有理论意义和实际意义.
The distributed parameter model of option pricing is established based on Black Scholes model,the nonlinear plan is changed,the simulated annealing method of option pricing problem is designed,about the object of option price maximum. The strike price and the interest rate is solved,using simulated annealing. This is the result that the above work is of theory and practic significance.
出处
《东北大学学报(自然科学版)》
EI
CAS
CSCD
北大核心
1997年第4期454-458,共5页
Journal of Northeastern University(Natural Science)
基金
辽宁省自然科学基金