| 油气开发的实物期权特征及应用B-S模型的条件检验 |
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| 引用本文： | 李志学,胡娟.油气开发的实物期权特征及应用B-S模型的条件检验[J].统计与信息论坛,2008,23(7):60-64. |
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| 作者姓名： | 李志学 胡娟 |
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| 作者单位： | 西安石油大学,经济管理学院,陕西,西安,710065 |
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| 摘 要： | 分析石油开发期权特征以及应用B-S模型的假设条件,并使用SPSS软件的K-S检验以及Q-Q图分析方法,通过对纽约伦敦两大石油交易所原油价格数据的研究,验证了石油价格遵循对数正态分布的假设,从而检验了石油开发期权应用B-S模型评价中几何布朗运动的前提条件假设。
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| 关 键 词： | 石油开发期权 B-S模型 对数正态分布 |
The Real Option Character of Oil and Gas Development and Test on the Applying Condition of the B- S Model |
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| LI Zhi-xue,HU Juan.The Real Option Character of Oil and Gas Development and Test on the Applying Condition of the B- S Model[J].Statistics & Information Tribune,2008,23(7):60-64. |
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| Authors: | LI Zhi-xue HU Juan |
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| Institution: | (The Center of Oil ＆ Gas Economy and Management Research, Xi＇an Shiyou University, Xi＇an 710065, China) |
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| Abstract: | This article analyzed the option character of the oil development and the hypothetical condition of the B - S model. With the help of the P - P plots and Kolmogorov - Smirnov test of the SPSS software, we researched the oil price of the London and New York petroleum exchange, and verified petroleum price to follow the hypothesis of lognormal distribution, and examined the hypothesis of geometric Brownian motion in B- S model of petroleum development option. |
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| Keywords: | oil development option B - S model lognormal distribution |
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