基于加权可能性均值的亚式期权模糊定价  

The Fuzzy Pricing of Asian Options Based on Weighted Possibilistic Mean

作　　者：詹惠蓉[1] 彭龙[1] 

机构地区：[1]北京外国语大学国际商学院,北京100089

出　　处：《数学的实践与认识》2011年第3期78-85,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(70873012);北京外国语大学自选课题(08033);北京外国语大学"211"工程三期子课题(0501C05)

摘　　要：主要探讨不确定环境下用模糊集理论处理亚式期权的定价问题.运用梯形模糊数来表示标的资产价格、无风险利率、红利率和波动率,建立了亚式期权的加权可能性均值模糊定价模型,得到连续几何和算术亚式期权的模糊价格公式.最后通过数值例子表明:亚式期权的加权可能性均值模糊定价模型具有很大的灵活性,更符合现实的不确定情况,具有较强的实用价值.This paper mainly studies the valuation of Asian options using fuzzy sets theory. Under the assumption of trapezoidal underlying asset price, trapezoidal risk-free interest rate, trapezoidal dividend rate and trapezoidal volatility, a weighted possibilistic mean pricing model for Asian options is built. The fuzzy versions of continuous geometric and arithmetic Asian options price formulas are obtained. Finally, a numerical example is given to show that the proposed model is so flexible and close to the uncertain financial market that it is very practicable.

关 键 词：几何亚式期权 算术亚式期权 模糊集理论 加权可能性均值 加权函数 

分 类 号：F830.9[经济管理—金融学] F224