Knight不确定环境下Lévy市场中的期权定价  

Option Pricing Under Knight Uncertainty in Lévy Market

作　　者：黄虹[1] 王向荣[2] 张勇 HUANG Hong WANG Xiang-rong ZHANG Yong(College of Information Science and Engineering 266590, China College of Mathematics and Systems Science, 266590, China） Shandong University of Science and Technology, Qingdao Shandong University of Science and Technology, Qingdao)

机构地区：[1]山东科技大学信息科学与工程学院,山东青岛266590 [2]山东科技大学数学与系统科学学院,山东青岛266590

出　　处：《数学的实践与认识》2016年第20期87-92,共6页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11271007);山东科技大学研究生创新基金(YZ150107)

摘　　要：研究了Knight不确定环境下的Lévy型金融市场.假设标的股票价格服从Lévy过程,借助Lévy-Laplace指数建立了欧式期权的动态定价模型,得到了定价区间,并针对Lévy纯跳过程给出了模型的显示解.最后,利用数值分析方法,研究了Knight不确定性参数对欧式看涨期权定价区间的重要影响.The Lévy financial market under Knight uncertainty was studied.Assuming the underlying stock asset following Lévy process,we established the supper and lower bounds model of European options by Lévy-Laplace exponent and got the interval of option price.Moreover,for pure jump Lévy process,the explicit solutions were given.Finally,the important impact of Knight uncertainty on the pricing of European options was studied through numerical analysis.

关 键 词：KNIGHT不确定性 LÉVY过程 Lévy-Laplace指数 期权定价 

分 类 号：F224[经济管理—国民经济] F830.9