| 引用本文: | 史正伟,傅一歌.倒向随机微分方程在欧式期权中的应用.[J].国防科技大学学报,2003,25(5):94-97.[点击复制] |
| SHI Zhengwei,FU Yige.The Application of Backward Stochastic Differential Equations to European Option[J].Journal of National University of Defense Technology,2003,25(5):94-97[点击复制] |
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| 倒向随机微分方程在欧式期权中的应用 |
| 史正伟, 傅一歌 |
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(国防科技大学 理学院，湖南 长沙 410073)
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| 摘要: |
| 假设市场为无套利市场 ，而且市场上只有两种证券：一种是无风险债券；一种是有风险的股票。通过自筹资策略，得到期权价格所满足的倒向随机微分方程(BSDE)，利用倒向随机微分方程给出欧式期权价格概率表示；并证明欧式期权的完全套期保值性。 |
| 关键词: 自筹资策略 欧式期权 倒向随机微分方程 Gisanov定理 |
| DOI： |
| 投稿日期：2003-02-28 |
| 基金项目:国家自然科学基金资助项目(60003013) |
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| The Application of Backward Stochastic Differential Equations to European Option |
| SHI Zhengwei, FU Yige |
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(College of Science,National Univ. of Defense Technology, Changsha 410073, China)
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| Abstract: |
| Assuming that there is no arbitrage and there are two securities traded, riskless and risky in the market, by self-financing strategy we obtain the BSDE option price satisfies ,and then we will get the probability expression formula of the European options' price by BSDE. We will give the proof of the complete hedging of the European option. |
| Keywords: self-financing strategy option pricing BSDE Gisanov theorem |
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