服从离散有限马尔可夫链的期权定价模型探讨  

Option Pricing with Following Discrete Limited Markov Chain

作　　者：刘薇[1] 

机构地区：[1]湖南财政经济学院,湖南长沙410205

出　　处：《湖南财政经济学院学报》2011年第3期104-106,共3页Journal of Hunan University of Finance and Economics

基　　金：湖南省自然科学基金项目"随机环境中马氏链及其在金融中的应用"(项目编号:07A003)阶段研究成果之一

摘　　要：Black-Scholes期权定价模型是假设在期权有效期内,标的资产收益波动率和无风险利率是恒定不变的。但现实中波动率和利率受许多不确定性因素的影响而总是一个变量。在波动率服从时间离散,状态离散有限且时齐的马尔科夫过程的期权定价模型的基础上,探讨当利率和波动率都是随机变化时的期权定价模型,并给出欧式看涨期权的定价方法。The Black-Scholes option pricing model is constructed based on the following hypothesis： in the period of validity,the interest rate without venture and vibration rate of financial asset is invariable.But the realistic situation is not in such case.Because vibration and interest rates affected by lots of uncertain factors is always one variable.On the basis of option pricing model in which the vibration rate obeys discrete time,discrete,limited and homogeneous state of Markov chain,analyzing the option pricing model that interest rate and vibration rate are at random changes,and the European call option pricing method are made.

关 键 词：波动率 利率 离散有限马尔可夫链 期权定价 

分 类 号：F224.7[经济管理—国民经济]