本文選題：Tsallis熵　切入點(diǎn)：Vasicek模型　出處：《鄭州大學(xué)學(xué)報(bào)(理學(xué)版)》2017年03期 　論文類型：期刊論文

【摘要】：為了準(zhǔn)確描述股票價(jià)格的變化規(guī)律,對經(jīng)典的Black-Scholes期權(quán)定價(jià)模型進(jìn)行改進(jìn),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(fù)性的O-U過程,建立股票價(jià)格的變化模型,在無風(fēng)險(xiǎn)利率服從Vasicek模型下,運(yùn)用隨機(jī)微分和等價(jià)鞅測度的方法得到了冪式期權(quán)的定價(jià)公式,推廣了經(jīng)典的Black-Scholes定價(jià)理論,擴(kuò)展了已有文獻(xiàn)的結(jié)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(xué)理學(xué)院;
【基金】：廊坊市科技局科學(xué)技術(shù)研究項(xiàng)目(2016011031)
【分類號】：F224;F830.91
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本文編號：1646790