摘要
在Black-Scholes公式的基础上建立了带时滞的欧式期权定价模型。该模型中用高斯移动平均过程取代标准布朗运动,并且假设模型满足一些条件以保证市场的完备性。由此建立的模型可以更好地描述真实环境下的市场特征。最后,该文给出了在一个等价鞅测度下的无套利原理以及较为精确的套期保值策略。
Based on Black-Scholes formula,a delayed European option pricing model was constructed.Standard Brownian motion was replaced by Gaussian moving average process and certain conditions were satisfied to ensure the completeness of the market.It is believed that the proposed model is realistic enough to fit the real market data.Finally,we put forth the no-arbitrage property and an explicit hedging strategy under the equivalent martingale measure.
出处
《苏州科技学院学报（自然科学版）》
CAS
2011年第4期12-21,31,共11页
Journal of Suzhou University of Science and Technology （Natural Science Edition）
基金
国家自然科学基金资助项目(10871041)
关键词
高斯移动平均过程
等价鞅测度
期权定价
带时滞的随机微分方程
Gaussian moving average process
equivalent martingale measure
option pricing
stochastic delay differential equation
