| 基于加权可能性均值的亚式期权模糊定价 |
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| 引用本文： | 詹惠蓉,彭龙.基于加权可能性均值的亚式期权模糊定价[J].数学的实践与认识,2011,41(3). |
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| 作者姓名： | 詹惠蓉 彭龙 |
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| 作者单位： | 北京外国语大学,国际商学院,北京,100089 |
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| 基金项目： | 国家自然科学基金(70873012); 北京外国语大学自选课题(08033);北京外国语大学“211”工程三期子课题(0501C05) |
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| 摘 要： | 主要探讨不确定环境下用模糊集理论处理亚式期权的定价问题.运用梯形模糊数来表示标的资产价格、无风险利率、红利率和波动率,建立了亚式期权的加权可能性均值模糊定价模型,得到连续几何和算术亚式期权的模糊价格公式.最后通过数值例子表明:亚式期权的加权可能性均值模糊定价模型具有很大的灵活性,更符合现实的不确定情况,具有较强的实用价值.
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| 关 键 词： | 几何亚式期权 算术亚式期权 模糊集理论 加权可能性均值 加权函数 |
The Fuzzy Pricing of Asian Options Based on Weighted Possibilistic Mean |
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| ZHAN Hui-rong,PENG Long.The Fuzzy Pricing of Asian Options Based on Weighted Possibilistic Mean[J].Mathematics in Practice and Theory,2011,41(3). |
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| Authors: | ZHAN Hui-rong PENG Long |
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| Institution: | ZHAN Hui-rong,PENG Long (International Business School,Beijing Foreign Studies University,100089) |
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| Abstract: | This paper mainly studies the valuation of Asian options using fuzzy sets theory. Under the assumption of trapezoidal underlying asset price,trapezoidal risk-free interest rate, trapezoidal dividend rate and trapezoidal volatility,a weighted possibilistic mean pricing model for Asian options is built.The fuzzy versions of continuous geometric and arithmetic Asian options price formulas are obtained.Finally,a numerical example is given to show that the proposed model is so flexible and close to the uncertain... |
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| Keywords: | geometric Asian options arithmetic Asian options weighted possibilistic mean fuzzy sets theory weighting function |
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