保险精算法在广义欧式期权定价中的应用  

Application of Actuarial Approach to Option Pricing in General

作　　者：刘福国[1] 祝丽萍[1] 

机构地区：[1]昌吉学院数学系,新疆昌吉831100

出　　处：《数学的实践与认识》2013年第18期78-82,共5页Mathematics in Practice and Theory

基　　金：昌吉学院科研项目(2011SSQD02);自治区人文社科重点研究基金(050313C01)

摘　　要：严格按照期权定义,以股票期末价值和敲定价格之差大于零作为期权行权条件利用保险精算方法讨论了债券的利率和股票的预期收益率具有时间相依的情形下的广义欧式期权定价问题,推广郑红等人的结果,导出广义Black-Scholes期权定价公式为实践中合理确定期权价格提供理论参考依据.Strictly following to the definition of option, the pricing modeling of the generalized option is obtained with non-constant interest and expected returns, based on the assessment of the actual loss and the corresponding probability distribution. Moreover, the generalized Black-Scholes option pricing formula is derived, which provided the theoretical reference for a reasonable option price theory in practice

关 键 词：保险精算法 期权定价模型 广义Black-Scholes公式 

分 类 号：F840[经济管理—保险] F713.35F224