G-期望框架下的指数O-U期权定价模型  

Index O-U Option Pricing Model under G-Expectation Framework

作　　者：江继祥 

机构地区：[1]上海理工大学理学院,上海

出　　处：《理论数学》2024年第4期91-97,共7页Pure Mathematics

摘　　要：本文基于G-期望空间理论和指数O-U (Ornstein-Uhlenback)过程模型,将指数O-U过程推广到G-期望空间,在股价预期收益率波动的基础上,使模型更加广泛地适用于概率测度还无法确定的情况,推导出G-期望空间下的O-U过程模型的股票价格公式以及期权定价公式,使股票模型更贴近且反映金融市场实际情况。Based on the G-expectation space theory and the Ornstein-Uhlenback process model, the index O-U process is extended to the G-expectation space. Based on the volatility of stock price expected returns, the model is more widely applicable to situations where probability measures cannot be determined. The stock price formula and option pricing formula of the O-U process model in the G-expectation space are derived, making the stock model closer to and reflecting the actual situation of the financial market.

关 键 词：随机微分方程 G-伊藤公式 指数O-U过程 非线性期望 

分 类 号：F83[经济管理—金融学]