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从投资收益最大化角度提出了求解不完全市场期权价格的一个新方法.通过分析多叉树模型中投资者的收益,然后基于投资收益最大化原则,运用套期保值近似复制期权的有效期末的收益函数,进而得出初始时刻的期权价格.该方法没有限定收益函数形式,充分体现了期权的投资避险功能,数值算例表明该算法可行有效.
A new method to solve the price of the incomplete market option is proposed from the perspective of maximizing return on investment. By analyzing the return of investors in the multi-tree model and using the maximization of return on investment, the hedging is used to approximate the end of the valid term of the option And then get the option price at the initial time.This method does not limit the form of return function, which fully reflects the investment hedging function of the option, numerical examples show that the algorithm is feasible and effective.