摘要
研究具有Knight不确定性的金融市场,假定标的资产(股票)价格过程服从几何布朗运动,建立了再装股票期权在一个概率测度集合上的最大、最小定价模型。并借助于倒向随机微分方程(BSDE)以及偏微分方程(PDE)的重要理论完成了对模型的转化。最后利用随机过程的有关知识求出了该模型的显示表达式,并通过具体的数值分析揭示了Knight不确定性对再装股票期权定价的重要影响。
The financial market with Knight uncertainty is st adieci. Assuming the underlying stock asset follows geometric Brownian motion, the models of maximal and minimal pricing of reload stock option are built. Moreover, applying the theories of backward stochastic differential equation and partial differential equation, the models have been converted. At last the explicit solutions of the models have been given by using the theory of stochastic processes. And this paper depicts the important impact of Knight uncertainty on the pricing of reload stock option through numerical analysis.
出处
《中国管理科学》
CSSCI
2008年第1期25-31,共7页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(10671205)
山东大学博士后基金资助项目(BSH05019)
