模糊随机环境下的期权定价  

Option Pricing in a Fuzzy Stochastic Environment

作　　者：孙琳[1] 

机构地区：[1]广东工业大学应用数学学院,中国广州510090

出　　处：《湖南师范大学自然科学学报》2010年第2期37-42,共6页Journal of Natural Science of Hunan Normal University

摘　　要：由于金融市场的时常波动性,使得期权定价模型的参数变得模糊不清.在这种情况下,将模糊逻辑与随机过程同时引入金融市场.采用随机过程刻画标的股票价格和利率的变化过程,同时考虑定价模型的输入参数是模糊随机数的情形,得到了不确定形式的Black-Scholes模型,并给出一定可信度下欧式期权的模糊随机价格区间.数值算例说明了模糊随机技术是对金融市场的不确定性问题进行建模的有力工具.Owing to the vague fluctuation of financial markets from time to time,the parameters of option pricing model may occur imprecisely.In this case,both fuzzy logic and stochastic process are introduced.Using stochastic process describes the dynamics of the underlying asset stock price and interest rate,the uncertain version of the Black-Scholes model is obtained by assuming that the stock price,the interest rate,and the volatility are fuzzy stochastic numbers.Moreover,the fuzzy stochastic interval of European call option with an acceptable belief degree is given.The numerical example indicates that the fuzzy stochastic technique is a useful tool for modeling the imprecise problem in the financial market.

关 键 词：模糊随机过程 欧式期权 模糊期权价值 定价模型 

分 类 号：F830.59[经济管理—金融学]