中国市场期权定价与风险控制  

Option Pricing and Risks Controlling in Chinese Market

作　　者：王艳[1] 王军[1] 李彩云[1] 

机构地区：[1]北京交通大学数学系,金融数学与金融工程研究所,北京100044

出　　处：《科学技术与工程》2008年第21期5761-5764,共4页Science Technology and Engineering

基　　金：国家自然科学基金(70771006);北京交通大学基金(2006XM044)资助

摘　　要：应用随机过程理论构造股票价格过程,并运用统计物理模型的一维接触过程理论,引入不连续跳跃过程。在风险中立条件下推导出欧式买入期权的定价公式.。最后,从"股票收益率的期望大于债券收益率的期望"的角度出发,进一步给出了风险回避市场中欧式买入期权的价格取值范围,并给出期权投资过程中回避风险的方法。The theory of stochastic process is applied to describe and study the fluctuations of stock prices in Chinese stock market, and the jump of price changing is introduced into the financial model by applying the contact process theory. For the financial model, the formula of pricing a European calls option with the risk neutral condition is obtained. Further the range of European call option in a risk-averse market and the method of avoiding risks in option investment are given.

关 键 词：随机过程 接触过程 风险中立 期权价格 风险回避 

分 类 号：O211.9[理学—概率论与数理统计]