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具有随机收益率与波动率股票的一般价格分布

ANALYSIS ON STOCK PRICE DISTRIBUTION CONTAINING STOCHASTIC RETURN AND STOCHASTIC VOLATILITY
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摘要 研究了收益率及波动率均为扩散过程的股票价格分布问题 ,给出了二者独立情况下分布的解析形式 ,并应用于欧式期权的定价。 The stock price distrbution containing the stochastically varying return and volatility parameters following a diffusion process was studied. The analytical expression of price distribution and the stock prices for the stochastic return and the stochastic volatility being mutually independent were derived. The results were applied to the pricing of a European call option.
作者 李明新 李元
出处 《石油大学学报(自然科学版)》 EI CAS CSCD 北大核心 2002年第5期106-108,共3页 Journal of the University of Petroleum,China(Edition of Natural Science)
关键词 随机收益率 波动率 股票 价格分布 欧式股权 stock price distribution return volatility European call option
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参考文献6

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