首页 | 本学科首页   官方微博 | 高级检索  
     检索      

基于分形分布的股票期权VaR计算
引用本文:车韧,何传江.基于分形分布的股票期权VaR计算[J].经济数学,2009,26(1):49-53.
作者姓名:车韧  何传江
作者单位:重庆大学数理学院,400030
基金项目:重庆市科委自然科学基金计划 
摘    要:本文提出一种运用分形分布计算股票期权VaR的方法.首先对股票价格行为进行了理论总结和实证分析,表明采用分形分布来拟合股票的对数收益率是合理的,然后在此基础上推导股票期权VaR的计算公式,最后给出若干算例.

关 键 词:股票期权  VaR(在险价值)  分形分布

VAR ESTIMATION OF STOCK OPTIONS BASED ON FRACTAL DISTRIBUTION
Che Ren,He Chuanjiang.VAR ESTIMATION OF STOCK OPTIONS BASED ON FRACTAL DISTRIBUTION[J].Mathematics in Economics,2009,26(1):49-53.
Authors:Che Ren  He Chuanjiang
Institution:College of Mathematics & Physice;Chongqing University;Chongqing;400030
Abstract:In this paper,a method for estimating the VaR of stock options is proposed,which is based on fractal distribution.Firstly,the behavior of stock-market price is analyzed theoretically and some exemplifications are given.It shows that the continuously logarithmic returns of stock can be stimulated by fractal distribution.Secondly,VaR calculating formula of stock options is deduced,and some examples are given.
Keywords:
本文献已被 CNKI 维普 万方数据 等数据库收录!
点击此处可从《经济数学》浏览原始摘要信息
点击此处可从《经济数学》下载免费的PDF全文
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号