摘要
基于不确定理论,研究了不确定均值回复模型下欧式幂期权的定价问题.不仅推导了欧式看涨幂期权和欧式看跌幂期权的定价公式,还给出了数值算例,并分析了模型参数(期权到期日和交割价格)对欧式幂期权价格的影响.
Based on uncertainty theory, the pricing of European power options under the uncertain meanreverting model are studied. The pricing formulas of European power call option and European power put option are derived, and some numerical examples are given. Furthermore, the influence of parameters including the expiration time and the strike price on European power options price is analyzed.
作者
张立东
孙艳美
Zhang Lidong;Sun Yanmei(School of Science,Tianjin University of Science&Technology,Tianjin 300457,China;Center for Financial Engineering and Risk Management,Tianjin University of Science&Technology,Tianjin 300222,China;School of Economy and Management,Tianjin University of Science&Technology,Tianjin 300222,China)
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2020年第2期1-6,共6页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
教育部人文社会科学研究青年基金(19YJCZH251)
天津市教委科研计划项目(2018KJ113)。
关键词
幂期权
浮动利率
不确定均值回复模型
power option
floating interest rate
uncertain mean-reverting model
