基于决策者期望值的期权估价  

Subjective Expectation Approach for Pricing American Put Option

作　　者：刘书霞[1] 姚绍文[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《北京理工大学学报（社会科学版）》2009年第1期85-87,共3页Journal of Beijing Institute of Technology：Social Sciences Edition

摘　　要：文章在分析现有期权定价方法的基础上,分析了投资者对标的证券价格推断、权衡等主观因素,在离散时间金融市场模型中研究了不付红利股票期权的定价问题。在经典期权定价的离散模型的基础上,假定股票价格是模糊变量,基于可信性理论提出期权的主观预期值估价方法。The existence of uncertainty in decision-making would have an effect on options pricing. By considering the investor＇s subjective factors in process to infer American put option price, the fuzzy American option pricing model of discrete time is established based on the credibility theory, in which the price of stocks is taken as fuzzy variables. Moreover, the expected value of option price is derived by the decision-maker attitude.

关 键 词：期权定价 模糊理论 模糊期权 

分 类 号：F830.91[经济管理—金融学]