[1]颜镜洲,冯长焕,罗德军,等.基于非线性投资策略的看涨期权定价模型[J].西华师范大学学报(自然科学版),2015,36(04):339-344.[doi::10.3969/j.issn.1673-5072.2015.04.004]
 YAN Jingzhou,FENG Changhuan,LUO Dejun,et al.Study on the Call Option Pricing Model under the Nonlinear Dynamic Investment Strategy[J].Journal of China West Normal University(Natural Sciences),2015,36(04):339-344.[doi::10.3969/j.issn.1673-5072.2015.04.004]
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基于非线性投资策略的看涨期权定价模型()
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《西华师范大学学报(自然科学版)》[ISSN:1673-5072/CN:51-1699/N]

卷:
36
期数:
2015年04期
页码:
339-344
栏目:
出版日期:
2015-12-20

文章信息/Info

Title:
Study on the Call Option Pricing Model under the Nonlinear Dynamic Investment Strategy
作者:
颜镜洲冯长焕罗德军刘群
西华师范大学 数学与信息学院,四川 南充 637009
Author(s):
YAN JingzhouFENG ChanghuanLUO DejunLUI Qun
(College of mathematic and information,China West Normal University,Nanchong Sichuan 637009,China)
关键词:
价值函数看涨期权期权的定价模型股票期权
Keywords:
value function call option option pricing model stock option
分类号:
O213
DOI:
:10.3969/j.issn.1673-5072.2015.04.004
文献标志码:
A
摘要:
Black-Scholes期权定价理论是假设持有人在期权的有效期内不进行股票交易,然而期权持有人买入期权后还可能在期权的有效期内进行交易的投资策略.假定按照非线性的投资策略持有股票,并给出期权的定价公式,在适当的条件下新期权定价公式退化为经典的定价公式,并且它的价格更便宜.
Abstract:
Based on BlackScholes option pricing theory,the classic option pricing theory assumes that the holder is not trading in the stock option within the validity period. In this paper,we consider the option holder after the call option may be traded within the validity period of the option of investment strategy. According to the investment strategy of nonlinear hold shares, we have obtained the pricing formulas,and the improved option pricing formula under the appropriate conditions for the degradation of the classical pricing formula.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2015-05-10
基金项目:西华师范大学基本科研业务费专项资金资助(14C004);南充市社科规划一般规划(NC2013B027)
作者简介:颜镜洲(1988-),男,四川南充人,硕士研究生,主要从事概率论与数理统计方面的研究.
通讯作者: 冯长焕(1972-),女,四川南充人,教授,主要从事概率论与数理统计方面的研究. E-mail:fchanghuan@163.com
更新日期/Last Update: 2015-12-20