期权定价的博弈论分析
Analysis of Option Pricing with Game Theory
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摘要: 期权定价的Black-Scholes公式的推导需要解偏微分方程,使期权价格的确定不易理解.为此,将期权交易 看成博弈过程,则确定期权价格就变成了计算期权交易过程中股票的收益期望值.股票价格的变化是无限随机 过程,通过计算此随机过程的分布密度函数,就可得出期望值.Abstract: The principle of option pricing is difficult to understand because derivation of the Black-Scholes formula needs the knowledge of complicated partial derivation. To make it simple, trading of options is regarded as a game, and option pricing becomes calculation of the expectation value of a share during the trade. The variation of the price of a share is an infinite random process. Therefore, the expectation value can be obtained through calculation of the distribution function of the random process.
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Key words:
- game theory /
- option /
- option pricing /
- stock
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