大连理工大学学报2011，Vol.51Issue(4)：621-624,4.
基于Black-Scholes模型的期权定价新方法
A new method of option pricing based on Black-Scholes model
沈玉波 1张待见 1宋立新1
作者信息
- 1. 大连理工大学数学科学学院,辽宁大连116024
- 折叠
摘要
Abstract
Actual financial markets are incompleted and distributions of yield rate are fat-tailed,so based on the classical Black-Scholes model and using downward convex property of function,option pricing formula H（a）=E[（X-a）2] is generalized to Hk（a）=E[（X-a）2k].With the GARCH model of DJSH rate and by using the method of stochastic simulation,effects of the two pricing formulas are compared.The results show that the new formula of option pricing effectively increases the price and reduces the risk.关键词
Black-Scholes公式/GARCH模型/Girsanov定理Key words
Black-Scholes formula/GARCH model/Girsanov theorem分类
数理科学引用本文复制引用
沈玉波,张待见,宋立新..基于Black-Scholes模型的期权定价新方法[J].大连理工大学学报,2011,51(4):621-624,4.
