| 股票带有机制转换与红利支付的定性期权估值问题研究 |
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| 引用本文： | 唐仕冰,费为银,李帅.股票带有机制转换与红利支付的定性期权估值问题研究[J].数学理论与应用,2013(1):43-49. |
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| 作者姓名： | 唐仕冰 费为银 李帅 |
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| 作者单位： | 安徽工程大学数理学院 |
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| 基金项目： | 国家自然科学基金资助项目(71171003,71271003);教育部人文社会科学规划基金资助项目(12YJA790041);安徽省自然科学基金资助项目(090416225,1208085MG116);安徽省高校自然科学基金资助项目(KJ2010A037) |
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| 摘 要： | 本文研究了股票带有红利支付及股价带有机制转换环境下的定性期权估值问题.先利用伊藤公式得到股票价格的动力学方程.再通过随机分析方法推导出标的股票在机制转换市场环境下期权的估值公式.最后进行数值分析,得出带有红利支付的定性期权的估值结果.
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| 关 键 词： | 随机波动 定性期权红利 时间转换期权 伊藤公式 |
Study on Valuing Qualitative Options with Regime Switching and Dividend Payment |
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| Tang Shibing Fei Weiyin Li Shuai.Study on Valuing Qualitative Options with Regime Switching and Dividend Payment[J].Mathematical Theory and Applications,2013(1):43-49. |
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| Authors: | Tang Shibing Fei Weiyin Li Shuai |
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| Institution: | Tang Shibing Fei Weiyin Li Shuai(School of Mathematics and Physics,Anhui Polytechnic University,Wuhu Anhui 241000,China) |
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| Abstract: | Under the circumstance with the regime switching stock price and dividend payment, the valuations of qualitative options are researched. Firstly, by using the It{9 formula we obtain the dynamics equations of a stock. Seeondly, the time - switching options calculation formula, where the underlying stock is affected by stochastically changing market environments, are derived by the stochastic calculus. Finally, the parity formula of qualitative options with stochastic volatility and dividend payment is provided. Moreover, the numerical simulations are provided for valuations of qualitative options. |
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| Keywords: | Stochastic Volatility Qualitative Option Dividend Time - switching Option Ito Formula |
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