| Gamma时变过程与Black-Scholes期权定价的定价偏差纠正 |
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| 引用本文： | 奚炜. Gamma时变过程与Black-Scholes期权定价的定价偏差纠正[J]. 管理工程学报, 2004, 18(1): 111-113 |
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| 作者姓名： | 奚炜 |
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| 作者单位： | 中国科学技术大学统计与金融系,安徽,合肥,230026 |
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| 摘 要： | 本文针对Black Scholes期权定价的定价偏差,介绍了一种对该模型的改进模型,它是通过将gamma过程作为时变过程嵌入BlackScholes期权定价模型中的布朗运动来实现的。
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| 关 键 词： | 波动率微笑 gamma时变过程 期权定价模型 |
| 文章编号： | 1004-6062(2004)01-0111-03 |
| 修稿时间： | 2002-06-10 |
Gamma Time Change Process and Pricing Biases Correction of Black-scholes Option Pricing Model |
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| XI Wei. Gamma Time Change Process and Pricing Biases Correction of Black-scholes Option Pricing Model[J]. Journal of Industrial Engineering and Engineering Management, 2004, 18(1): 111-113 |
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| Authors: | XI Wei |
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| Abstract: | This paper introduces a new modification to Black Scholes option pricing model for pricing biases correction by bringing gamma process into Brownian motion as the time change process. |
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| Keywords: | volatility smile gamma time change process option pricing model |
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