摘要
期权及其定价理论是目前金融管理、金融工程研究的前沿与热点问题。文章在系统分析了期权价格的影响因素之后,研究了服从马尔柯夫链的期权定价模型与服从半马尔柯夫链的期权定价模型,并以案例进行了计算与验证。
Options and the pricing theory of options are the frontiers fields in today's financial management and financial engineering research. Based upon the systematic analysis of factors affecting the prices of options,the paper studies both the options pricing model obeying markov chain and the options pricing model obeying semi-markov chain. The models are calculated and empiralized through case studies in the paper as well.
出处
《系统工程》
CSCD
1998年第5期56-59,共4页
Systems Engineering
基金
本课题得到国家自然科学基金九五重大项目<金融数学
金融管理
金融工程>的资助
批准号:G79790130
