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非Black-Scholes 模型环境下的未定权益的定价和套期保值研究
  • 项目名称：非Black-Scholes 模型环境下的未定权益的定价和套期保值研究
  • 项目类别：面上项目
  • 批准号：70771006
  • 申请代码：G0115
  • 项目来源：国家自然科学基金
  • 研究期限：2008-01-01-2010-12-31
  • 项目负责人：王军
  • 负责人职称：教授
  • 依托单位：北京交通大学
  • 批准年度：2007
中文摘要：

研究非 Black-Scholes 模型环境下的未定权益的定价和套期保值问题。立项的根源来自近几年来，对各国证券市场波动的观察、对证券价格波动和收益率波动的实证统计分析、以及对Black-Scholes 模型环境下的未定权益的定价具有一定局限性的认知等。研究涉及三个方面（1）构造非马尔科夫（non-Markovian）价格过程逼近 Black-Scholes 模型，并讨论相应的期权定价公式；（2）构造具有一般跳越的股票价格模型，并研究其期权定价问题；（3）对以上构造的随机金融期权模型进行计算机数据模拟, 研究相应的概率分布和统计特征, 并根据中国证券市场的实际数据研究上述模型的置信程度、参数估计、模型的适用范围等。研究工具包含期权定价理论，股票价格波动理论，随机过程理论（如停时、极限理论），交互作用粒子系统等。希望本研究能够对我国证券市场波动的理解和期权理论的发展起到一定作用。

中文主题词： Black-Scholes模型；非马尔科夫过程；价格跳越模型；期权定价公式；数据模拟
结论摘要：

英文主题词Black-Scholes model; non-Markovian processes; price jump model; option pricing formula; data simulation

成果综合统计
成果类型
数量
  • 期刊论文
  • 会议论文
  • 专利
  • 获奖
  • 著作
  • 33
  • 22
  • 0
  • 0
  • 0
期刊论文
FINITE-RANGE CONTACT PROCESS ON THE MARKET RETURN INTERVALS DISTRIBUTIONS
Modeling and simulation of the market fluctuations by the finite range contact systems
Fluctuations of stock price model by statistical physics systems
Forecasting model of global stock index by stochastic time effective neural network
考虑存贷利差的最优消费与投资组合问题
中国股票市场的统计特性和期权定价
Fractal Detrended Fluctuation Analysis of Chinese Energy Markets
The asymptotical behavior of probability measures for the fluctuation os stochastic models
Analytical valuation of contingent claims by stochastic interacting systems for stock market
STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS
The Stochastic Ising Model with the Mixed Boundary Conditions
利用连续渗流理论构造股市指标波动模型及其讨论(英文)
The estimates of correlations in two-dimensional Ising model
中国市场期权定价与风险控制
沪市成交量波动率及其对收益率的影响
关于简单证券交易量模型的实证分析
随机过程理论在股票及期权研究中的应用
含跳跃股价波动过程的期权定价
证券成交易量模型的研究与分析
Two Interfaces of Statistical Mechanics Models with a Fixed Intermediate Region
Fluctuations of interface statistical physics models applied to a stock market model
Statistical analysis and data analysis of stock market by interacting particle models
Data analysis and statistical behaviors of stock market fluctuations
Two Random Interfaces of Statistical Mechanics Model
The Statistical Properties of Fluctuations of Interfaces for Voter Model
股票交易量对证券期权价格的影响
基于选举模型理论研究股市特性
Ising动力系统模拟收益率的多重分形分析
具有内部竞争和负债公司的最佳融资及分红控制问题
应用接触过程构造股票价格模型
基于Ising模型的股票价格统计特征及模拟
股票市场日收盘价的Zipf-图像及其统计特征
一类带停时的奇异型随机控制模型的推广
会议论文
Dynamic Average Outgoing Quality on CSP-3-P
The Statistical Behavior of the Spread of Infection by the Contact Systems
Stochastic Analysis on Option Pricing and Risks Controlling in a Stock Market
The Optimal Financial Decision-making with Life Insurance and Different Rates Between Deposit and Lo
The Application of Stock Price Model with the Jump in the Options
Maximization of Consumption and Portfolio Problem under Interest Spreads of Deposit and Loan and Tra
The modelling of stock price and its option pricing in a financial stock market
Modeling and simulation of stock prices by contact model and statistical analysis
Stock Prices Fluctuations and Analytical Valuation of Contingent Claims by Stochastic Interacting Sy
Fluctuations of the Interfaces for the Two Dimensional Lattice Model
The Behavior of Stock Markets and the Option Pricing by the Dynamic Systems
Non-linear fluctuations of interfaces by the voter model and stopping times
The behavior of stock prices and valuation by continuum percolation theory
Stochastic stock process and its option pricing for a risk aversion stock market
Predictive Model of Shanghai Stock Index by the Time Effective Neural Network
The Statistical Analysis of Stock Prices and Trading Volumes for the Chinese Stock Markets
Forecasting model of Chinese stock index by stochastic time effective neural network
The Statistical Analysis of Chinese Stock Market Fluctuations by the Interacting Particle Systems
The Study of AOQ(t) on CSP-2-R with Dynamic Decomposition
The Innovation of Service for University Library at the Times of Networks
New Approach of University Library Journal Service in Chinese University
Non-linear systems of interfaces of statistical mechanics models with a fixed intermediate region
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