基于效应函数优化BS模型的最优资产和消费组合模型  

Optimal Combination of Assets and Consumption Based on Effect Function BS Model Optimization

作　　者：程文亮[1] 

机构地区：[1]南阳师范学院经济与管理学院,河南南阳473061

出　　处：《科技通报》2017年第6期38-41,共4页Bulletin of Science and Technology

基　　金：河南省社科规划项目(2017CJJ093)"基于供给侧结构性改革的河南省产业转型升级思路与路径选择研究";河南省社科规划项目(2017CJJ119)"国家中心城市研发产业促进制造业转型升级路径研究"

摘　　要：针对标准Black-Scholes模型(简称BS模型)在最优资产和消费组合模型的应用中表现出定价精确性不高的问题,本文提出了一种基于效应函数优化Black-Scholes模型的投资组合模型,首先令价格的运动变化过程趋向几何布朗运动,对期权回报率参数进行优化,然后为了得到一个平衡期权的定价,引入三个正回报概率,采用效应函数这个三个概率进行优化,最后分别对价格大于均衡价格、价格等于均衡价格和价格小于均衡价格三种情况下的BS模型的参数进行误差修正。仿真试验结果表明,本文提出的基于效应函数优化Black-Scholes模型的投资组合模型相比较标准BS模型,具有更高的定价精确性。For standard Black-Scholes model(referred to as BS model) showing the optimal application portfolio assets and consumption models in pricing accuracy is not high, we propose a portfolio optimization model based on Black-Scholes model effect function, first make price movements tend to geometric Brownian motion process of change, the rate of return for the option to optimize the parameters,then in order to get a balanced option pricing, the introduction of three positive return probability, using the three probability effect function optimization, the final price respectively greater than the equilibrium price, the price is equal to the equilibrium price and the price is less than the equilibrium price of BS model parameters under three conditions of the error correction. Simulation results show that the portfolio optimization model based on Black-Scholes model is proposed in this paper effect function compared to standard BS model, with higher pricing accuracy.

关 键 词：BLACK-SCHOLES模型 投资组合模型 几何布朗运动 正回报概率 误差修正 

分 类 号：O224[理学—运筹学与控制论]