摘要
本文用一个纯跳的随机过程来描述标的资产价格的动态性,称为有限状态多期模型。考虑只有一个标的资产的期权定价模型,给出其最小κ熵等价鞅测度,在此基础上采用Monte Carlo模拟欧式期权定价MCMEM(κ)方法,分别以虚拟Black-Scholes世界中欧式期权价格和现实金融市场中的麦当劳股票期权价格为例,对MCMEM(κ)和Black-Scholes公式等其他定价方法进行比较,验证了MCMEM(κ)的可行性。
This paper uses a pure jump stochastic process called the finite state multi-period model to describe the dynamics of underlying asset prices. Option pricing model for only one underlying asset is considered and the minimum K-entropy equivalent martingale measure is deduced. On this basis, a pricing method for European option using Monte Carlo simulation named as MCMEM（k） is proposed. MCMEM（k） and other pricing methods such as Black-Scholes formula are used to evaluate European option price in a virtual Black-Scholes world and the option price of McDonald＇s stock in the real fi- nancial market. The comparison results verify the feasibility of MCMEM（k）.
作者
翟迎新
让光林
Zhai Yingxin Rang Guanglin(School of Mathematics and Statistics, Wuhan University, Wuhan 430072, Chin)
出处
《武汉科技大学学报》
CAS
北大核心
2016年第6期472-477,共6页
Journal of Wuhan University of Science and Technology
基金
国家自然科学基金资助项目(11571272)
关键词
最小熵
等价鞅测度
期权定价
有限状态多期模型
欧式期权
minimal entropy~ equivalent martingale measure~ option pricing~ finite state multi-period model
European option
