| G框架下的欧式期权定价公式 |
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| 引用本文： | 徐静,徐美萍.G框架下的欧式期权定价公式[J].数学的实践与认识,2010,40(8). |
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| 作者姓名： | 徐静 徐美萍 |
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| 作者单位： | 1. 重庆大学,经济与工商管理学院,重庆,400030
2. 北京工商大学,计算机与信息工程学院,北京,100048;中国人民大学,统计学院,北京,100872 |
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| 基金项目： | 国家自然科学基金(10901168,10771214); 教育部人文社科基金(09YJCZH122); 重庆市自然科学基金(2009BB2039) |
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| 摘 要： | 用G几何布朗运动描述标的资产的价格变动,得到了欧式看涨期权定价的动态公式,并给出了动态复制策略的显示表达.
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| 关 键 词： | G几何布朗运动 欧式期权 G鞅 |
European Call Option Pricing Under G Framework |
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| XU Jing,XU Mei-ping.European Call Option Pricing Under G Framework[J].Mathematics in Practice and Theory,2010,40(8). |
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| Authors: | XU Jing XU Mei-ping |
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| Institution: | XU Jing~1,XU Mei-ping~(2,3) (1.School of Economics , Business Administration,Chongqing University,Chongqing 400030,China) (2.Department of Applied Mathematics,Beijing Technology , Business University,Beijing 100048,China) (3.School of Statistics,Renmin University of China,Beijing 100872,China) |
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| Abstract: | Under the assumption that the underlying asset follows the G geometric Brownian motion,we give the dynamic pricing formula for the European call option.We also obtain the dynamical hedging policy explicitly in a weaken Black-Scholes assumption. |
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| Keywords: | g geometric brownian motion european option g martingale |
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