|Table of Contents|

Research on option pricing model with dynamic drift parameter(PDF)

《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]

Issue:
2011年01期
Page:
49-52
Research Field:
经济管理
Publishing date:
2011-03-20

Info

Title:
Research on option pricing model with dynamic drift parameter
Author(s):
OU-YANG An1;  CHEN Ling-bing2
1. School of Science, Northwest A&F University, Yangling 712100, Shaanxi, China; 2. School of Mathematics and Computational Science, Shenzhen University, Shenzhen 581060, Guangdong, China
Keywords:
stock;  option;  pricing;  dynamic drift parameter
PACS:
F830.91
DOI:
-
Abstract:
In this paper, the authors introduce a modified option pricing model with dynamic drift parameter and damping process was obtained after improving the deduction of Black-Scholes option pricing formula. It firstly shows how the actual financial products can be translated into the modified option pricing model with damping process based on reasonable assumptions. Secondly, it offers the modified model under no-arbitrage balanced option prices by improving the mathematical model with damping process. Thirdly, it provides the integration formula of this modified option pricing model with dynamic drift parameter. Finally, the authors discuss the meaning and design idea of the dynamic parameter and the value of c.

References:

[1] Black F,Scholes M.The pricing of options and corporate liablities[J].Journal of Political Economy,1973,81(3):133-155.
[2]姜礼尚.期权定价的数学模型和方法[M].北京:高等教育出版社,2003.
[3]许 端.期权定价公式的概率论推导[J].北京工业大学学报, 2004,30(3):382-385.

Memo

Memo:
-
Last Update: 2011-03-20