| 期权定价的最大熵方法 |
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| 引用本文： | 李英华,李兴斯. 期权定价的最大熵方法[J]. 数学的实践与认识, 2010, 40(5) |
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| 作者姓名： | 李英华 李兴斯 |
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| 作者单位： | 1. 大连理工大学,应用数学系,辽宁,大连,116024
2. 大连理工大学,工业装备结构分析国家重点实验室,辽宁,大连,116024 |
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| 基金项目： | 国家自然科学基金重大项目(10590354); 国家自然科学基金(10572031) |
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| 摘 要： | 以欧式期权为例,用标的资产(如股票风险资产)和无风险资产复制期权,并用自融资无套利原理分析金融市场的资产价值变化情况.在此基础上,通过最大熵原理来求得资产组合中每个资产所占的比重,进而得出期权定价模型,由于最大熵原理所求得概率分布是目前所知求概率分布方法中最客观、无偏的,所以求得的新模型不受金融市场类型和标的资产价格分布的限制,具有较强的客观、无偏、可预测性.通过对期权的常用算例计算,发现新模型比B-S模型以及一些其它熵期权定价模型有更准确的标的资产价格分布、更低的回溯测试误差.
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| 关 键 词： | 期权定价 最大熵原理 自融资 无套利原理 |
Maximum Entropy Method for Option Pricing |
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| LI Ying-hua,LI Xing-si. Maximum Entropy Method for Option Pricing[J]. Mathematics in Practice and Theory, 2010, 40(5) |
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| Authors: | LI Ying-hua LI Xing-si |
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| Affiliation: | LI Ying-hua~1,LI Xing-si~2 (1.Department of Applied Mathematics,Dalian University of Technology,Dalian 116024,China) (2.State Key Lab.of Structural Analysis for Industrial Equipment,China) |
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| Abstract: | Considering the European option pricing,we use risk assets and risk-free assets to copy the European option,and combine further with self-financing and no-arbitrage theory to study the value of the portfolio in the securities market.Furthermore,the probabilities distribution of risk assets and risk-free assets are obtained respectively by maximum entropy formalism and a novel model of the European option pricing is developed.As the maximum entropy criterion is one of the most objective and unbiased methods ... |
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| Keywords: | option pricing maximum entropy formalism self-financing portfolio no-arbitrage theory |
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