不完全市场下收益最大化期权定价法  

Maximizing return model for option pricing in the incomplete market

作　　者：李英华[1] 李兴斯[1,2] 

机构地区：[1]大连理工大学应用数学系,大连116024 [2]大连理工大学工业装备结构分析国家重点实验室,大连116024

出　　处：《系统工程理论与实践》2011年第12期2281-2286,共6页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(10590354;10572031);辽宁省社科基金(L07DJY064)

摘　　要：从投资收益最大化角度提出了求解不完全市场期权价格的一个新方法.通过分析多叉树模型中投资者的收益,然后基于投资收益最大化原则,运用套期保值近似复制期权的有效期末的收益函数,进而得出初始时刻的期权价格.该方法没有限定收益函数形式,充分体现了期权的投资避险功能,数值算例表明该算法可行有效.This paper presents a new method to solve the option price in the incomplete market based on the maximizing profits. We analyze the investor＇s return in the multi tree model, then hedge the payoff of the option by means of the principle of return maximization at the expiration date of the option. Further, the option price is derived by the backward method in the multi tree model. Since the new one does not limit the form of the payoff function, it is easier to show the value of the option as the hedging and investing tools. Finally, Numerical examples indicate the new one is feasible and effective.

关 键 词：期权定价 效用函数 多叉树模型 套期保值 

分 类 号：F830.9[经济管理—金融学]