经济数学2016，Vol.33Issue(2)：23-28,6.
基于不确定理论的风险中性测度及其在欧式期权定价中的应用
Risk-neutral Measure and Its Applications in Option Pricing Based on Uncertainty Theory
摘要
Abstract
Based on the uncertainty theory ,the corresponding uncertainty risk neutral measure was derived firstly by u‐sing the risk free rate ,which agrees with the no‐arbitrage principle .Then the established risk neutral measure was applied to price the European Call and Put options ,and the parity relationship was verified .Finally ,this paper gave the pricing formula for a Spread Option by the risk neutral measure .The derived risk neutral measure confirms the classical no‐arbitrage principle , takes into consideration the inaccuracy in the description process ,and makes up for the inadequacy of stochastic pricing theory , which can be widely used in financial derivatives pricing and provides the reliable theoretical basis for investment analysis .关键词
应用数学/期权定价/风险中性测度/不确定理论/利差期权Key words
applied mathematic/option pricing/risk-neutral measure/uncertainty theory/spread option分类
管理科学引用本文复制引用
王国帅,赵佃立..基于不确定理论的风险中性测度及其在欧式期权定价中的应用[J].经济数学,2016,33(2):23-28,6.基金项目
国家自然科学基金资助项目（11271260，11171216）；中国沪江基金（B14005）；上海市一流学科资助项目 （）
