摘要
给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.
The dynamic stochastic elasticity is introduced and its applications on the pricing option models are discussed. The main results： （1） When the volatility is constant, the pricing option to B（t）＇s elasticity is follows Brown motion process and the economic explain is given; （2） The pricing option to volatility＇s elasticity is further discussed because the volatility is not a constant but a stochastic process. The principium explains on the finance and the mathematical descriptions according to the fluctuation of the stock price are given.
出处
《运筹学学报》
CSCD
北大核心
2007年第4期26-32,共7页
Operations Research Transactions
基金
Supported by the National Natural Science foundation of China(60574005)
Shandong province soft science research project(B2006069).
关键词
运筹学
动态随机弹性
期权价格
波动率
期望回报率
Operations research, dynamic stochastic elasticity, pricing options, volatility, expected return rate
