基于投资犹豫的欧式期权定价模型  

Pricing European options based on the hesitation degree of investors

作　　者：明雷[1] 杨胜刚[1] 

机构地区：[1]湖南大学金融与统计学院,长沙410079

出　　处：《系统工程理论与实践》2016年第6期1392-1398,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金创新群体项目(71221001);国家社会科学基金重大项目(12&ZD053);湖南省研究生创新项目(CX2015B100)~~

摘　　要：文章首先引入三角直觉模糊数来刻画投资者的犹豫程度和期权价格估计的不确定性,构建了基于三角直觉模糊数的Black-Scholes期权定价模型,并用风险中性的方法给出了欧式期权价格的解析表达式,该结论是Yoshida更一般的情况.然后,本文进行了数值分析,给出了欧式期权价格的区间值,并进行了参数敏感性分析.研究结果表明:基于三角直觉模糊数的Black-Scholes期权定价模型更能体现投资者的犹豫程度.Initially, this paper portrays the hesitancy degree of investors and the uncertainty of the estimated value of options price. We construct a novel Black-Scholes option pricing model under the triangular intuitionistic fuzzy number. And we get the explicit analytical solution of European options by taking advantage of the risk neutral the interval value of the options price European options price＇ formula. The fuzzy number can reflect the hesitancy pricing method. Then we give the numerical analysis and get Eventually, this paper analyzes the sensibility of parameters of results show that the model based on the triangular intuitionistic degree of investors much better than other models.

关 键 词：欧式期权 三角直觉模糊数 犹豫程度 风险中性定价 

分 类 号：F830[经济管理—金融学]