摘要
利用可信性理论对抛物型模糊二叉树期权定价模型进行了研究,推导出单期二叉树模型欧式期权价值的期望值,拓展了上升因子为三角模糊变量的单期二叉树欧式期权定价模型.而抛物型模糊数能够更好地捕捉股价变化过程中的不确定性,使模型的适用范围更广.
The binary tree option pricing model being subordinate to the parabolic type fuzzy variables is studied by credibility theory.The one period binary tree model options value expectations are got.The up factor of the one period binary tree European option pricing model as the triangular fuzzy variable is expanded.And the parabolic type fuzzy numbers can better capture stock price process uncertainty,which makes the model applicable scope wider.
出处
《江西师范大学学报（自然科学版）》
CAS
北大核心
2012年第2期177-179,188,共4页
Journal of Jiangxi Normal University(Natural Science Edition)
基金
国家自然科学基金(61063020)
宁夏自然科学基金(NZ1050)
宁夏研究生教育创新计划(2010)资助项目
关键词
模糊二叉树模型
抛物型模糊数
欧式期权定价
fuzzy binomial tree mode
parabolic type fuzzy number
European options pricing
