發(fā)布時間：2018-03-22 03:10

  本文選題：Tsallis熵　切入點：Vasicek模型　出處：《鄭州大學學報(理學版)》2017年03期 　論文類型：期刊論文

【摘要】：為了準確描述股票價格的變化規(guī)律,對經典的Black-Scholes期權定價模型進行改進,利用具有尖峰厚尾和長期相依特征的Tsallis熵分布、具有均值回復性的O-U過程,建立股票價格的變化模型,在無風險利率服從Vasicek模型下,運用隨機微分和等價鞅測度的方法得到了冪式期權的定價公式,推廣了經典的Black-Scholes定價理論,擴展了已有文獻的結論.
[Abstract]:In order to accurately describe the changing law of stock price, the classical Black-Scholes option pricing model is improved. Using the Tsallis entropy distribution with the characteristics of peak and thick tail and long-term dependence, and the O-U process with mean recovery, the model of stock price change is established. Based on the Vasicek model, the pricing formula of power options is obtained by means of stochastic differential and equivalent martingale measure, which generalizes the classical Black-Scholes pricing theory and extends the conclusions of previous literatures.
【作者單位】： 燕山大學理學院;
【基金】：廊坊市科技局科學技術研究項目(2016011031)
【分類號】：F224;F830.91
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本文編號：1646790