| 基于构造定价的期权价格行为特征分析 |
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| 引用本文： | 戴锋,黄春淼,彭旭宁. 基于构造定价的期权价格行为特征分析[J]. 中国管理科学, 2008, 0(Z1) |
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| 作者姓名： | 戴锋 黄春淼 彭旭宁 |
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| 作者单位： | 解放军信息工程大学; |
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| 摘 要： | 本文在期权的构造定价方法的基础上,利用偏尾分布,并结合证券价格行为指标、极限价格、均衡价格、重心价格等基本特征的概念及计算方法,给出了无分红标的资产极限价格、均衡价格、重心价格的期权价格计算方法,通过这些期权价格行为特征的计算结果,可以预先得知看涨与看跌期权的最大价格、均衡价格及重心价格,以及期权市场的强弱状况。
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| 关 键 词： | 偏尾分布 期权价格 构造定价法 价格行为特征 |
Analytic Method of the Option Price Behaviors Based on the Structure Model |
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| DAI Feng,HUANG Chun-miao,PENG Xu-ning. Analytic Method of the Option Price Behaviors Based on the Structure Model[J]. Chinese Journal of Management Science, 2008, 0(Z1) |
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| Authors: | DAI Feng HUANG Chun-miao PENG Xu-ning |
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| Affiliation: | DAI Feng,HUANG Chun-miao,PENG Xu-ning (Department of Management Science,Information Engineering University,Zhengzhou 450002,China) |
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| Abstract: | Based on the DF structure model for option pricing,by using the partial distribution,and combining with the analytic methods of the extreme price and balanced price,focus price,this paper gives the method of option pricing on extreme price and balanced price,focus price.By the results calculated from the price behavior properties such as the options on extreme price,balanced price and focus price,we could know in advance the maximas price,balanced price and focus price of call or put options,and the status ... |
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| Keywords: | partial distribution option pricing DF structure model characters of price behaviors |
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