具有时滞响应的择好期权定价.docVIP

具有时滞响应的择好期权定价 　　摘 要 假设市场是完备的，在文中使用了计价单位变换，等价鞅测度理论和无套利原理研究了股票价格具有时滞的欧式择好期权，得到了欧式择好期权的定价公式和对冲交易策略. 中国论文网 /9/view-7257210.htm 　　关键词 股票价格；时滞；择好期权；等价鞅测度 　　中图分类号 62P05 文献标识码 A 　　Abstract Assuming that the markets are complete， we use the changes of numeraire， the theory of equivalent martingale measure and noarbitrage property to study the pricing of European betterof options for stock prices with delay. In conclusion， we derive a closedform representation of the option price， and hedging strategy. 　　Key words stock prices， delay， betterof options， equivalent martingale measure. 　　1 Introduction 　　The advent of BlackScholes[1] option pricing model has brought a revolutionary change for the financial industry. Firstly， the return volatility needed to be assessed， when we use the BlackScholes formula to price the stock options. However， options pricing has been questioned under the assumption of the constant volatility， since empirical evidence shows that volatility actually depends on time in a way that is not predictable. For example， Bollerslev[2] found that the volatility was not a constant， besides， the changes of stock return volatility could be more accurately described and predicted by using the GARCH model. So the need for better ways of understanding the behavior of many natural processes has motivated the development of dynamic models of these process. The concept of stochastic volatility model was introduced by Hull and White[3]，and subsequent development includes the work of Wiggns[4]，Johnson and Shannon[5] and Scott[6].On the other hand， some studies found that the rate of change of stock price depends on past prices， such as Christie[7]，Akgiray[8] and Sheinkman and LeBaron[9]. Hobson and Roger[10] suggested a new class of nonconstant volatility models， and the volatility can be regarded as an endogenous factor in the sense that it is defined in terms of the past behavior of the stock price. Furthermore， some scholars began to study the pricing of option