郑州大学学报（理学版）2017，Vol.49Issue(3)：1-4,8,5.DOI:10.13705/j.issn.1671-6841.2016261
随机利率下基于Tsallis熵及O-U过程的幂式期权定价
Pricing of Power European Options Based on Tsallis Entropy and O-U Process under Stochastic Interest Rate
摘要
Abstract
The classical Black-Scholes option pricing model was improved in order to accurately describe the fluctuation of stock price.Thus,the distribution of Tsallis entropy,which had fat-tailed and long-term dependent characteristics,and O-U process were selected to describe the law of the stock prices fluctuation.By using the stochastic differential and martingale under the Vasicek interest rate model,the pricing formulas of power European options were obtained.The formulas not only generalized the classical Black-Scholes conclusion,but also corroborated the conclusions in the other literature.关键词
Tsallis熵/Vasicek模型/O-U过程/鞅Key words
Tsallis entropy/Vasicek interest rate model/O-U process/martingale分类
数理科学引用本文复制引用
王永茂,李丹,魏静..随机利率下基于Tsallis熵及O-U过程的幂式期权定价[J].郑州大学学报（理学版）,2017,49(3):1-4,8,5.基金项目
廊坊市科技局科学技术研究项目(2016011031). （2016011031）
