随机利率下基于Tsallis熵及O-U过程的幂式期权定价

发布时间：2018-03-22 03:10

  本文选题：Tsallis熵　切入点：Vasicek模型　出处：《郑州大学学报(理学版)》2017年03期 　论文类型：期刊论文

【摘要】：为了准确描述股票价格的变化规律,对经典的Black-Scholes期权定价模型进行改进,利用具有尖峰厚尾和长期相依特征的Tsallis熵分布、具有均值回复性的O-U过程,建立股票价格的变化模型,在无风险利率服从Vasicek模型下,运用随机微分和等价鞅测度的方法得到了幂式期权的定价公式,推广了经典的Black-Scholes定价理论,扩展了已有文献的结论.
[Abstract]:In order to accurately describe the changing law of stock price, the classical Black-Scholes option pricing model is improved. Using the Tsallis entropy distribution with the characteristics of peak and thick tail and long-term dependence, and the O-U process with mean recovery, the model of stock price change is established. Based on the Vasicek model, the pricing formula of power options is obtained by means of stochastic differential and equivalent martingale measure, which generalizes the classical Black-Scholes pricing theory and extends the conclusions of previous literatures.
【作者单位】： 燕山大学理学院;
【基金】：廊坊市科技局科学技术研究项目(2016011031)
【分类号】：F224;F830.91
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本文编号：1646790