Knight不确定环境下欧式股票期权的最小定价模型

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Knight不确定环境下欧式股票期权的最小定价模型

张慧¹^，²，聂秀山³

1. 山东大学经济学院，山东济南 250100； 2. 山东财政学院统计与数理学院，山东济南 250014；3. 山东财政学院计算机信息工程学院，山东济南 250014

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2006-10-24 发布日期:2006-10-24
通讯作者: 张慧

Minimal pricing models of European stock options under Knight uncertainty

ZHANG Hui¹^，²， NIE Xiu-shan³

1.School of Economics, Shandong University, Jinan 250100;2. School of Mathematics and Sciences, Shandong Finance University;3. School of Computer & Information Engineering, Shandong Finance University, Jinan 250014

Received:1900-01-01 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
Contact: ZHANG Hui

摘要/Abstract

摘要： 研究具有Knight 不确定性的金融市场，假定标的资产（股票）价格过程服从几何布朗运动，建立了欧式期权在一个概率测度集合上的最小定价模型，并借助于倒向随机微分方程（BSDE）的重要理论以及鞅方法求出了该模型的显示表达式；通过研究一个避险参数揭示了Knight 不确定性对欧式期权定价的影响。

关键词: Knight 不确定性, 倒向随机微分方程（BSDE） , 几何布朗运动

Abstract: The financial market with Knight uncertainty was studied. Assuming the underlying stock asset follows geometric Brownian motion, the models of minimal pricing of European stock options were made. Moreover, the explicit solutions of the models were given by using the theories of backward stochastic differential equation and the method of martingale. A parameter of escaping risk was studied in order to depict the impact of Knight uncertainty on pricing European stock options.

Key words: backward stochastic differential equation (BSDE) , geometric Brownian motion, Knight uncertainty

中图分类号:

O211.63

张慧,聂秀山 . Knight不确定环境下欧式股票期权的最小定价模型[J]. J4, 2007, 42(11): 121-126 .

ZHANG Hui,NIE Xiu-shan . Minimal pricing models of European stock options under Knight uncertainty[J]. J4, 2007, 42(11): 121-126 .

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