摘要
分析石油开发期权特征以及应用B-S模型的假设条件,并使用SPSS软件的K-S检验以及Q-Q图分析方法,通过对纽约伦敦两大石油交易所原油价格数据的研究,验证了石油价格遵循对数正态分布的假设,从而检验了石油开发期权应用B-S模型评价中几何布朗运动的前提条件假设。
This article analyzed the option character of the oil development and the hypothetical condition of the B - S model. With the help of the P - P plots and Kolmogorov - Smirnov test of the SPSS software, we researched the oil price of the London and New York petroleum exchange, and verified petroleum price to follow the hypothesis of lognormal distribution, and examined the hypothesis of geometric Brownian motion in B- S model of petroleum development option.
出处
《统计与信息论坛》
CSSCI
2008年第7期60-64,共5页
Journal of Statistics and Information
