条件概率与条件数学期望及其在期权定价中的应用被引量：1

下载PDF

导出

摘要鉴于条件概率与条件数学期望在概率统计教学中的重要性,本文从测度论的角度浅显易懂地介绍了条件概率与条件数学期望的定义与性质,并且利用条件概率与条件数学期望研究了欧式看涨期权的动态定价模型,求出了模型的显式表达式.

作者张慧

机构地区山东财政学院统计与数理学院

出处《山东师范大学学报（自然科学版）》 CAS 2009年第2期143-144,148,共3页 Journal of Shandong Normal University(Natural Science)

基金国家自然科学基金资助项目(1067125) 山东大学博士后基金资助项目山东省教育厅人文社科基金资助项目(J08WE61) 山东财政学院博士基金资助项目.

关键词条件概率条件数学期望欧式看涨期权动态定价模型

参考文献3

1[3]Black F,Scholes M.The pricing of options and corporate liabilities[J].Journal of Political Economy,1973,81 (3):637-654
2薛红,彭玉成.鞅在未定权益定价中的应用[J].工程数学学报,2000,17(3):135-138. 被引量：28
3闫海峰,刘三阳.带有Poisson跳的股票价格模型的期权定价[J].工程数学学报,2003,20(2):35-40. 被引量：46

1约翰·赫尔张陶伟（译）.期权、期货和衍生证券[M].北京:华夏出版社,1997..
2Blacd F, Scholes M. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973;81(3) :637 - 654.
3Lo A W, Mackinlary A C. Stock market prices do not follow random walks: evidence from a simple specification test[ J]. Review of Financial Studies, 1988 ; 1:41 - 66.
4Knut K, AASE. Contingent claims valuation when the security price is combination of an its process and a random point process[J]. Stochastic processes and their Applications, 1988 ;28(2) :185 -220.
5Merton M C. Continuous-Time finance[ M]. Cambridge M A: Blackwell Publishers, 1990.
6Martin Schweizer. Option heading for semi-martingales[J]. Stochastic Processes and Their Application, 1991 ;37(3) :339 - 360.
7Chan T. Pricing contingent claims on stocks driven by Levy processes[ J ]. Annals of Appl Prob, 1999;9 (2) :504- 528.
8Kallsen Jan. Optimal portfolios for exponential Levy processes [ J ]. Math Meth Oper Res, 2000 ; 51 (3) : 357 - 374.
9Jean Luc Prigent. Option pricing with a general marked point process[J]. Mathematics of Operations Research,2001 ;26(1) :50 - 66.
10Bladt M, Rydberg T H. An actuartial approach to option pricing under the physical measure and without market assumptions[ J]. Insurance: Mathematics and Economics, 1998 ;22 ( 1 ) :65 - 73.

山东师范大学学报（自然科学版）

2009年第2期

内容加载中请稍等...