最大熵方法在组合期权定价中的应用  

Application of Maximum Entropy Method on Option Pricing

作　　者：董莹[1] 季鑫[1] 

机构地区：[1]大连民族学院理学院,辽宁大连116600

出　　处：《鲁东大学学报（自然科学版）》2012年第4期302-306,共5页Journal of Ludong University:Natural Science Edition

基　　金：中央高校基本科研业务费专项资金资助(DC120101115)

摘　　要：在欧式期权的基础上,采用最大熵方法,求得无偏差的概率分布,对组合期权进行定价与求解.在此过程中,应用自融资无套利市场原理作为变化的基础,在无风险资产同时存在的条件下,通过惩罚函数法及BFGS算法的综合应用进行价格求解,使组合期权定价方法更为准确.On the basis of the European option,combined option pricing can be measured and solved by a series of probability distribution which can be produced by the maximum entropy method.Regarding the theory of the self-financing and no-arbitrage as the basis of changing,the combined option pricing can be made in the condition of risk-free assets by the methods of penalty function and BFGS algorithm,which makes the method of combined option pricing can be settled accurately.

关 键 词：组合期权定价 最大熵原理 自融资 惩罚函数 BFGS算法 

分 类 号：F831.5[经济管理—金融学]