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不完全市场下基于熵定价方法的利率期权估值 被引量：2

Valuation of interest rate options based on the entropy pricing method under incomplete market
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摘要 基于熵定价方法,给出了一套平行Black-Scholes期权定价模型的利率上限、利率下限、利率双限与利率互换期权的估值解析式,并分别给出了它们的简化计算公式,为不完全市场中利率期权定价提供了一种新思路。 On the basis of the entropy pricing method, and swaption of interest rate are given with parallel to formula are presented respectively, which are offered a the analytical formula of valuing of caps, floors, collars Black-Scholes option pricing model, and their simplifying new way to price interest rate options in incomplete market.
作者 周荣喜 孙军 徐建荣
机构地区 北京化工大学经济管理学院
出处 《北京化工大学学报（自然科学版）》 EI CAS CSCD 北大核心 2008年第1期101-103,共3页 Journal of Beijing University of Chemical Technology(Natural Science Edition)
基金 国家自然科学基金(70372011/70701003) 北京化工大学青年教师基金(QN0521)
关键词 熵定价方法 利率期权 估值 GAMMA函数 entropy pricing method interest rate options valuation Gamma function
分类号 F830.59 [经济管理—金融学]
  • 相关文献

参考文献11

  • 1Cox J C, Ingersoll J E, Ross S A. A theory of the term structure of interest rates[J]. Econometrica, 1985, 53 (2) : 385 - 407.
  • 2Heath D, Jarrow R, Morton A. Bond pricing and the term structure of interest rate: A new methodology for contingent claim valuations[J]. Econometrica, 1992, 60 (1) :77- 105.
  • 3谢赤.评价利率期权的远期与即期模型的比较分析[J].管理科学学报,2001,4(6):77-82. 被引量：5
  • 4周荣喜,邱菀华,王新哲.HJM框架下基于CPI的期限结构模型及其应用[J].管理工程学报,2006,20(3):85-88. 被引量：1
  • 5Gulko L. The entropy theory of stock option pricing[J]. International Journal of Theoretical and Applied Finance, 1999, 2(3) : 331 - 355.
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  • 10周荣喜.基于BGM模型的具有可变执行利率的利率期权定价[J].北京化工大学学报（自然科学版）,2006,33(4):101-104. 被引量：1

二级参考文献31

  • 1周荣喜,邱菀华.BDT模型的扩展及应用研究[J].数量经济技术经济研究,2005,22(2):87-94. 被引量：8
  • 2王新哲,周荣喜,邱菀华.具有可变执行利率的利率上限定价研究[J].哈尔滨工业大学学报,2006,38(1):116-118. 被引量：4
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  • 10Kai L.Targeting inflation by constant interest-rate forecasts[J].Journal of Money,Credit and Bankings,2003,35:609 ～ 626.

共引文献7

同被引文献28

  • 1汤思英,刘继春,杜立金.最小对称熵鞅测度和不完备市场中的定价问题[J].厦门大学学报（自然科学版）,2004,43(4):465-468. 被引量：3
  • 2秦学志,应益荣.基于鞅和熵原理的资本资产定价方法[J].系统工程理论方法应用,2004,13(5):460-462. 被引量：8
  • 3周荣喜,陈黎明,邱菀华.美式债券期权定价熵模型[J].数学的实践与认识,2006,36(8):59-64. 被引量：3
  • 4Wiggins J B. Option values under stochastic volatility: theory and empirical estimates[J]. Journal of Financial Economics, 1987, 19(2) :351 - 372.
  • 5Buchen P W, Kelly M. The maximum entropy distribution of an asset inferred from option prices[J]. Journal of Financial and Quantitative Analysis, 1996, 31 (1) : 143 - 159.
  • 6Stutzer M. A simple nonparametric approach to derivative security valuation[J]. Journal of Finance, 1996, 51 (5) :1633 - 1652.
  • 7Gulko L. The entropic market hypothesis [ J ]. International Journal of Theoretical and Applied Finance, 1999, 2(3): 293 - 329.
  • 8Gulko L. The entropy theory of stock option pricing[J]. International Journal of Theoretical and Applied Finance, 1999, 2(3) : 331 - 355.
  • 9Friedrich H. Convergence of minimum entropy option prices for weakly converging incomplete market models [J]. International Journal of Theoretical and Applied Finance, 2000, 3(3) : 559 - 560.
  • 10Frittelli M. The minimal entropy martingale measure and the valuation problem in incomplete markets[J]. Mathmatics Finance, 2000, 10(1):39 -52.

引证文献2

二级引证文献2

北京化工大学学报（自然科学版）
2008年 第1期

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