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中文摘要：
在Black-Scholes公式的基础上建立了带时滞的欧式期权定价模型。该模型中用高斯移动平均过程取代标准布朗运动,并且假设模型满足一些条件以保证市场的完备性。由此建立的模型可以更好地描述真实环境下的市场特征。最后,该文给出了在一个等价鞅测度下的无套利原理以及较为精确的套期保值策略。
英文摘要：
Based on Black-Scholes formula,a delayed European option pricing model was constructed.Standard Brownian motion was replaced by Gaussian moving average process and certain conditions were satisfied to ensure the completeness of the market.It is believed that the proposed model is realistic enough to fit the real market data.Finally,we put forth the no-arbitrage property and an explicit hedging strategy under the equivalent martingale measure.
同期刊论文项目
同项目期刊论文
Numerical solutions of doubly perturbed stochastic delay differential equations driven by Levy proce
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