证券期权定价的量子模型及其实证分析

发布时间：2018-03-09 23:13

本文选题：量子模型　切入点：期权定价　出处：《郑州大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文给出了量子模型下的期权定价方法及实证分析.首先,利用量子力学原理建立了证券市场的量子波动模型,它满足含有未知参数的薛定谔方程.其次,利用定价的风险中性理论给出了量子模型下的定价公式,它和传统的B-S公式有显著差异,主要表现为量子定价公式不仅和股票价格有关还和初态有关.进一步,利用上海证券市场的数据进行了实证分析,分析表明量子的方法较传统的B-S方法有效.
[Abstract]:In this paper, the option pricing method and its empirical analysis under the quantum model are given. Firstly, the quantum volatility model of the securities market is established by using the quantum mechanics principle, which satisfies the Schrodinger equation with unknown parameters. In this paper, the pricing formula under quantum model is given by using the risk-neutral theory of pricing. It is obviously different from the traditional B-S formula, which mainly shows that the quantum pricing formula is not only related to the stock price, but also related to the initial state. Using the data of Shanghai Stock Market, the empirical analysis shows that the quantum method is more effective than the traditional B-S method.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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