Please wait a minute...
吉林化工学院学报, 2020, 37(7): 13-17     https://doi.org/10.16039/j.cnki.cn22-1249.2020.07.004
  本期目录 | 过刊浏览 | 高级检索 |
不确定指数O-U过程下几何平均亚式期权定价
刘兆鹏
宿州学院 数学与统计学院,安徽 宿州 234000
Geometric Average Asian Option Pricing Problems of Uncertain Exponential Ornstein-Uhlenbeck Model
LIU Zhaopeng
下载:  PDF (264KB) 
输出:  BibTeX | EndNote (RIS)      
摘要 

不确定理论在解决金融问题中发挥着越来越重要的作用。基于不确定指数Ornstein-Uhlenbeck过程研究了亚式期权定价问题,运用 轨道方法,分别推导了几何平均亚式看涨期权和看跌期权定价公式,并讨论了不确定期权定价公式的数学性质,最后给出一些数值算例。

服务
把本文推荐给朋友
加入引用管理器
E-mail Alert
RSS
作者相关文章
刘兆鹏
关键词:  指数O-U过程  不确定理论  不确定微分方程  几何平均亚式期权     
Abstract: 

Uncertainty theory is playing a more and more important role in solving the financial problems. This paper investigates the uncertain financial market based on the uncertain exponential Ornstein–Uhlenbeck model. Geometric average Asian call option pricing formula and put option pricing formula are derived via the α-path method. Some mathematical properties of the uncertain option pricing formulas are discussed. Finally, several numerical examples are given.

Key words:  exponential O-U process    uncertainty theory    uncertain differential equation    geometric average asian option
               出版日期:  2020-07-25      发布日期:  2020-07-25      整期出版日期:  2020-07-25
O211.6,F830.9  
引用本文:    
刘兆鹏. 不确定指数O-U过程下几何平均亚式期权定价 [J]. 吉林化工学院学报, 2020, 37(7): 13-17.
LIU Zhaopeng. Geometric Average Asian Option Pricing Problems of Uncertain Exponential Ornstein-Uhlenbeck Model . Journal of Jilin Institute of Chemical Technology, 2020, 37(7): 13-17.
链接本文:  
https://xuebao.jlict.edu.cn/CN/10.16039/j.cnki.cn22-1249.2020.07.004  或          https://xuebao.jlict.edu.cn/CN/Y2020/V37/I7/13
[1] 刘斌, 袁云云, 牛向阳. 概率论方法主要特征及实施策略 [J]. 吉林化工学院学报, 2021, 38(3): 91-96.
[2] 任敏, 王晶晶. 随机环境中具有迁移的两性分枝过程的极限性质 [J]. 吉林化工学院学报, 2020, 37(11): 85-90.
[1] WANG Ya-hong, JIA Ying-chao. Optimization for Soxhlet Extraction of Total Flavonoids from Eggplant Root by Using Response Surface Methodology[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 1 -6 .
[2] PAN Hong-wei, ZHOU Hong-li. Research Progress on Extraction Technology and Component Analysis of Volatile Flavor Compounds in Plants[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 7 -10 .
[3] SUN Xiao-feng, YU Wen-xin, ZHU Ming-wei, JIE Meng, JIANG De-lon. Research on the Piezoelectric Pump Application in Continuous Ink Supply System of the Inkjet Printer[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 15 -18 .
[4] ZHOU Zhen-qiang, WANG Kai-bao, CHEN Yu-tian, HAN Ji, HOU Dai-bing, GUO Wen-qi. Analysis of the Design and Dynamic Characteristics of Recyclable Garbage Crushing Device[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 31 -35 .
[5] ZHU Qi-rui, ZHANG Yu-feng, LI Yang-xin, WU Dong-jun, BI Shuai-nan, ZHOU Rui-jie, YOU Sai-sai. The Structural Design and Parameter Analysis of the Chair Structure of Quadriplegia of Cerebral Palsy[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 40 -44 .
[6] SU Ji-yi, QU Ming-lei, MA Hong-tu. Preparation and Study of Nano-crystal Doped with Rare Earth Ions[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 52 -57 .
[7] ZHANG Yun-peng. Preparation and Characterization of Er3+Y3+Yb3+ Co-doped Al2O3 Luminescence Materials[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 58 -63 .
[8] MI Ya-wei. Proof of the Manifold of n Manifold[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 64 -66 .
[9] XU You-zhuan, ZHOU Hou-qing. The Lower Bounds of Energy for Some Circulant Graph[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 67 -72 .
[10] ZHANG Peng. Development on Database of Rubber Bladder Forming Process Parameters[J]. Journal of Jilin Institute of Chemical Technology, 2018, 35(3): 78 -82 .
Viewed
Full text


Abstract

Cited

  Shared   
  Discussed