不确定性、投资者犹豫程度与永久美式期权定价  

Uncertainty,hesitancy degree of investors and pricing perpetual American options

作　　者：杨申燕 明雷[2] 唐慧 杨胜刚[2] YANG Shenyan;MING Lei;TANG Hui;YANG Shenggang(Hubei Financial Development and Financial Security Research Center,School of Finance,Hubei University of Economics,Wuhan 430205,China;School of Finance and Statistics,Hunan University,Changsha 410079,China)

机构地区：[1]湖北经济学院金融学院湖北金融发展与金融安全研究中心,武汉430205 [2]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》2020年第11期2839-2847,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金青年项目(71903051);国家自然科学基金重大项目(71790593);国家自然科学基金应急管理项目(71850006);国家社会科学基金一般项目(19BGL055)。

摘　　要：近年来金融市场黑天鹅事件频发,加剧了投资者行为的状态依赖性和不确定性.本文利用三角直觉模糊数来衡量投资决策行为的不确定性和犹豫程度,建立了模糊随机过程下支付连续红利的永久美式期权定价模型,得到了风险中性概率测度下的美式期权区间价格.然后,基于本文理论模型模拟了标的资产的模糊价格,并进行了模型的比较静态分析.研究发现:基于三角直觉模糊数的永久美式期权区间价格较好地衡量了投资者犹豫程度,对投资决策具有现实指导意义.In recent years financial markets attacked frequently by black swans events,which aggravated investor behaviors’state dependence and uncertainty.Using triangular intuitionistic fuzzy numbers to measure the uncertainty and hesitancy degree of investors’decision-making behavior,this paper initially establishes the interval pricing model of perpetual American options with continuous dividends under fuzzy stochastic process.The option price range under risk-neutral probability measure is obtained.In addition,we simulate the underlying asset fuzzy price based on the theoretical model and carry out the comparative static analysis of the model.The results show that the interval price of perpetual American option based on triangular intuitionistic fuzzy number can better measure the option fuzzy price with investors’hesitancy,which has more realistic guiding significance for investment decision.

关 键 词：永久美式期权 三角直觉模糊数 不确定性 犹豫程度 风险中性定价 

分 类 号：F830[经济管理—金融学]