鞅方法在股指期权定价中的应用

Martingale Methods in the Applicalion of Stock Optims Pricing

介绍了股指期权,并利用等价鞅测度定理给出股指期权定价的一般公式,研究了股指期权的风险管理的Delta套期保值方法,并指明研究的价值与意义.

An introduction is made to stock index options and an European warrants pricing general formula is presented by using equivalent martingale measure theorem.The stock index option risk management of Delta hedging method is studied and the research value and significance related are pointed out.