| 选举交互模型下的股市权益定价 |
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| 引用本文： | 邵吉光,王军. 选举交互模型下的股市权益定价[J]. 北方交通大学学报, 2014, 0(3): 135-140 |
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| 作者姓名： | 邵吉光 王军 |
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| 作者单位： | 北京交通大学理学院,北京100044 |
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| 基金项目： | 国家自然科学基金资助项目（71271026）;中央高校基本科研业务费专项资金资助（S11JB00400） |
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| 摘 要： | 运用停时理论及粒子选举交互作用系统,建立了一个包含两类投资者的股票价格模型,用以描述证券市场的单只证券价格过程波动的统计特性.基于统计分析方法,证明了标准化随机价格过程收敛于相应Black-Scholes模型的分布.讨论了该价格过程模型下的欧式未定权益的定价和套期保值问题.
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| 关 键 词： | 选举交互系统 价格模型 未定权益 定价 套期保值 |
Valuation of contingent claims by voter interacting systems |
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| SHAO Jiguang,WANG Jun. Valuation of contingent claims by voter interacting systems[J]. Journal of Northern Jiaotong University, 2014, 0(3): 135-140 |
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| Authors: | SHAO Jiguang WANG Jun |
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| Affiliation: | ( School of Science, Beijing Jiaotong University, Beijing 100044,China) |
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| Abstract: | Applying stopping time theory and particle voter interacting systems,the paper models a financial stock price model that contains two types of investors for describing the fluctuations statistical properties of a single stock price process in the market.By the statistical analysis,we show that the probability distribution of the normalized random price process convenes to the corresponding distribution of the Black-Scholes model.Further,we discuss the valuation and hedging of European contingent claims for this price process model. |
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| Keywords: | voter interacting systems price model contingent claims valuation hedging |
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