完备市场下的期权定价与套期交易策略的选择  

Option-pricing of Completeness Market and the Choice of Hedging-trade Strategies

作　　者：傅强[1] 蒲兴成[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《重庆大学学报（自然科学版）》2003年第5期86-89,共4页Journal of Chongqing University

摘　　要：在非均衡市场投资组合套利机会存在性假设的随机市场的基础上 ,先对T -期权和均衡价格进行定义 ,对定义进行了分析和说明。利用随机分析的相关知识 ,在市场完备性条件下证明了欧式看跌和看涨期权价格相等 ,都等于均衡价格。另外 ,在相同的假设条件下 ,讨论了期权 (欧式 )的套期交易策略的选择 ,并构造性地获得了套期交易策略及其相应的计算公式。为说明问题起见 ,举例说明了如何计算得到具体的投资组合套期交易策略的表达式。This article is based on the existence of an arbitrage about a portfolio in an disequilbrium market under the supposition of the stochastic market. The authors defined the T option priee equilibrium price, and illuminated these definitions at first. With the knowledge of stochastic analysis, it is demonstrated that the price of European put option equals its callo ption. They both equal equilibrium price. In addition, under the same supposition, it is discussed that the choice of hedging trade planning, got the formula of hedging trading.A example to show how to use the formula.

关 键 词：期权定价 套期交易 随机市场 

分 类 号：F279.1[经济管理—企业管理]