分形市场中欧式看涨期权的动态稳健定价模型

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摘要研究具有Knight不确定性的分形金融市场,建立欧式看涨期权的动态稳健定价模型,利用拟条件期望以及拟鞅得到模型的显式解。通过分析避险参数以及进行数值计算,验证Knight不确定性对欧式看涨期权动态稳健定价的重要影响。

作者张慧孟纹羽

机构地区山东财政学院统计与数理学院

出处《统计与决策》 CSSCI 北大核心 2012年第18期77-80,共4页 Statistics & Decision

基金山东省软科学项目(2012RKB01333) 山东省社会科学规划研究项目(10DJGJ07) 山东省统计局重点课题(KT1052) 山东省教育厅人文社科项目(J11WF08)

关键词稳健定价分形布朗运动拟条件期望拟鞅 KNIGHT不确定性

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统计与决策

2012年第18期

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