作　　者： ; ; ; ;

机构地区： 华南理工大学工商管理学院

出　　处： 《系统工程》 2015年第1期11-17,共7页

摘　　要： 考虑到几何布朗运动刻画标的资产价格变动的不足,首先基于几何Lévy过程的视角探讨了欧式脆弱看涨期权的定价公式。在此基础上,进一步考虑金融市场的时常波动性以及模型中部分输入参数难以准确估计,如无风险利率、收益率、波动率等,因此本文引入模糊集理论,给出了模糊环境下基于Lévy过程的欧式脆弱看涨期权定价模型。最后,通过数值算例对所得到的模型进行说明,对比分析了Klein模型与Lévy-Klein确定性欧式脆弱看涨期权模型中各参数对期权价格的影响,同时进一步将模糊环境与确定性环境下基于Lévy过程的欧式脆弱看涨期权定价模型进行对比研究。结果表明,几何Lévy过程能够包含更多的资产价格变动信息,并且模糊环境下基于Lévy过程的脆弱期权定价能够更好地满足不同偏好投资者的投资需求,引导投资者进行更有效地投资决策。 Considering the defect that geometric Brownian motion insufficiently depicts the underlying asset price fluctuations,this paper uses geometrical Lévy process to describe asset price fluctuations and deduces the Lévy process-based European vulnerable call option model.Besides,based on further consideration that the volatility existed in financial market and some input parameters,like risk-free rate,the drift and the volatility in the model cannot be measured accurately,the fuzzy set theory is introduced to obtain a fuzzy Lévy process-based European vulnerable call option pricing formula.Finally,a number of examples illustrate the application of our model.We analyze the impact of different parameters on the option price under deterministic model from the comparison of original Klein model,which is furtherly compared with the option price derived from the achieved two models under certainty and fuzzy environment.A conclusion is drawn that the geometrical Lévy process can contain more information about asset price fluctuations,and the Lévy process-based European vulnerable call option model under fuzzy environment can better meet the demand of various preference investors and guide them to make investment decisions more effectively.

关 键 词： 脆弱期权 过程 模糊数 模型

领　　域： [经济管理] [经济管理]