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单周期三叉树模型中等价鞅测度的比较 被引量：2

Comparison of Equivalent Martingale Measures in One-Period Trinomial Tree Model
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摘要 在无套利假设下,用一个参数刻画单周期三叉树模型中的等价鞅测度,得到了Esscher变换测度和q-优化测度对应参数所满足的方程,然后利用数值计算对这些参数进行了比较. A parameter depicting the equivalent martingale measure in one-period trinomial tree model under the hypothesis of no arbitrage opportunity is found, and the equations which the parameters corresponding Esscher measure and q-optimal pricing measures must satisfy are given respectively. And then those different parameters are compared by numerical calculation.
作者 姚落根 欧辉 杨向群
机构地区 湖南师范大学数学与计算机科学学院 湖南商学院信息学院
出处 《湖南师范大学自然科学学报》 CAS 北大核心 2009年第1期11-15,共5页 Journal of Natural Science of Hunan Normal University
基金 国家自然科学基金资助项目(10571051) 国家自然科学基金资助项目(10871064)
关键词 三叉树模型 不完全市场 等价鞅测度 q-优化测度 trinomial tree model incomplete market equivalent martingale measure, q-optimal pricing measures
分类号 O211.6 [理学—概率论与数理统计]
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参考文献7

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同被引文献17

  • 1韩立杰,刘喜波,刘宇.期权定价的新型三叉树方法[J].数学的实践与认识,2007,37(18):39-42. 被引量：11
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  • 3JOHN H C, WHITE A. Pricing interest rate derivative securities[ J]. Rev Financial Stud, 1990,3 (4) :573-592.
  • 4JOHN C, JONATHAN E, STEPHEN A. An intertemporal general equilibrium model of asset prices and theory of the term struc- ture of interest rates[ J]. Econometrica, 1985,53 (2) :363-407.
  • 5BAZ J, DAS S R. Analytical approximations of the term structure for jump-diffusion processes : a numerical analysis [ J 1. J Fixed Income, 1996,6( 1 ) :78-86.
  • 6DAS S R, FORESI S. Exact solutions for bond and option prices with systematic jump risk[J]. Rev Derivatives Res, 1996,1 ( 1 ) :7-24.
  • 7CHACKO G, DAS S R. Pricing interest rate derivatives: a general approach[ J]. Rev Financial Stud, 2002,15( 1 ) :195-241.
  • 8BELIAEVA N A, NAWALKHA S K, SOTO G. Pricing American interest rate options under the jump-extended Vasicek model [J]. J Derivatives, 2008,16(1) :29-43.
  • 9KOU S G. A jump diffusion model for option pricing[ J ]. Manag Sci, 2002,48 (1) :1086-1101.
  • 10BELIAEVA N A, NAWALKHA S K. A simple approach to pricing American options under the Heston stochastic volatility model[ J ]. J Derivatives , 2010,17 (4) -25-43.

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湖南师范大学自然科学学报
2009年 第1期

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