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本文用一个纯跳的随机过程来描述标的资产价格的动态性,称为有限状态多期模型。考虑只有一个标的资产的期权定价模型,给出其最小κ熵等价鞅测度,在此基础上采用Monte Carlo模拟欧式期权定价MCMEM(κ)方法,分别以虚拟Black-Scholes世界中欧式期权价格和现实金融市场中的麦当劳股票期权价格为例,对MCMEM(κ)和Black-Scholes公式等其他定价方法进行比较,验证了MCMEM(κ)的可行性。
In this paper, we use a pure jump stochastic process to describe the dynamic of underlying asset prices, which is called finite state multi-period model. Considering the option pricing model with only one underlying asset, the minimum κ entropy equivalent martingale measure is given. On this basis, Monte Carlo simulation is used to simulate European option pricing MCMEM (κ) In the real financial market, the price of McDonald’s stock option is compared with other pricing methods such as MCMEM (κ) and Black-Scholes formula to verify the feasibility of MCMEM (κ).