摘要
假设市场为无套利市场,而且市场上只有两种证券:一种是无风险债券;一种是有风险的股票。通过自筹资策略,得到期权价格所满足的倒向随机微分方程(BSDE),利用倒向随机微分方程给出欧式期权价格概率表示;并证明欧式期权的完全套期保值性。
Assuming that there is no arbitrage and there are two securities traded, riskless and risky in the market, by selffinancing strategy we obtain the BSDE option price satisfies ,and then we will get the probability expression formula of the European options' price by BSDE. We will give the proof of the complete hedging of the European option.
出处
《国防科技大学学报》
EI
CAS
CSCD
北大核心
2003年第5期94-97,共4页
Journal of National University of Defense Technology
基金
国家自然科学基金资助项目(60003013)
