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简单利用Black&Scholes公式对指数期权进行定价 ,会存在理论上的不一致性。本文抓住组成股票价格指数的个股运动变化相对独立的特点 ,引入跳跃过程描述股票价格的运动变化 ,并在一定的限制条件下得出指数期权的定价方程及定价模式。这一方法在很大程度上避免了采用扩散过程描述股票价格指数运动与描述个股价格变化的理论不一致性。
There are theoretical inconsistencies in the simple pricing of index options using the Black & Scholes formula. This paper seizes the characteristics of relatively independent movements of individual stocks that make up the stock price index, introduces the jump process to describe the movement of the stock price, and draws the pricing equation and pricing model of index options with certain restrictions. This method largely avoids the theoretical inconsistency of using the diffusion process to describe the stock price index movement and describing the price changes of individual stocks.