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文章首先引入三角直觉模糊数来刻画投资者的犹豫程度和期权价格估计的不确定性,构建了基于三角直觉模糊数的Black-Scholes期权定价模型,并用风险中性的方法给出了欧式期权价格的解析表达式,该结论是Yoshida更一般的情况.然后,本文进行了数值分析,给出了欧式期权价格的区间值,并进行了参数敏感性分析.研究结果表明:基于三角直觉模糊数的Black-Scholes期权定价模型更能体现投资者的犹豫程度.
The article first introduces the triangle intuitionistic fuzzy numbers to describe the hesitancy of investors and the uncertainty of the option price estimation, constructs the Black-Scholes option pricing model based on the triangular intuitionistic fuzzy numbers and gives the European option price The conclusion is Yoshida’s more general case.Then, the numerical analysis is carried out and the interval value of the European option price is given and the parameter sensitivity analysis is carried out.The results show that based on the triangular intuitionistic fuzzy number Black-Scholes option pricing model can better reflect the hesitancy of investors.