文献详情
A PRICING OPTION APPROACH BASED ON BACKWARD STOCHASTIC DIFFERENTIAL EQUATION THEORY
文献类型：期刊
通讯作者：Jiang, XQ (reprint author), Renmin Univ China, Informat Acad, Beijing, Peoples R China.
期刊名称：DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES S影响因子和分区
年：2019
卷：12
期：4-5
页码：969-978
ISSN：1937-1632
关键词：BSDE; Black-Scholes model; volatility; option pricing; call option; put option
摘要：In option pricing, backward stochastic differential equation (BSDE) has wide application and Black-Scholes model is one of the classic pricing model. However, the model needs many preconditions which causes the implementing environment of model to approach perfection, leading to large deviation in actual application. Therefore, this article study the optimization problem of option pricing model under limited conditions intensively. It means that when random volatility is given, the option pricin ...More
In option pricing, backward stochastic differential equation (BSDE) has wide application and Black-Scholes model is one of the classic pricing model. However, the model needs many preconditions which causes the implementing environment of model to approach perfection, leading to large deviation in actual application. Therefore, this article study the optimization problem of option pricing model under limited conditions intensively. It means that when random volatility is given, the option pricing formula with random interest rate is proposed and corresponding revision is also provided. Then we adopt call option and put option of Standard Poor's 500 index options to perform empirical research. The results indicate the assumption of random volatility is closer to reality. Compared to tradition models, the approach proposed in this article has enough theoretical basis. It is proved to own simple modeling method and higher accuracy which also shows certain reference significance to option pricing. ...Hide

DOI：10.3934/dcdss.2019065
百度学术：A PRICING OPTION APPROACH BASED ON BACKWARD STOCHASTIC DIFFERENTIAL EQUATION THEORY
语言：外文
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STOCK PRICE FLUCTUATION PREDICTION METHOD BASED ON TIME SERIES ANALYSIS.Jiang, Xiao-Qian, Zhang, Lun-Chuan,.DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES S. 2019, 12(4-5), 915-927.
A PRICING OPTION APPROACH BASED ON BACKWARD STOCHASTIC DIFFERENTIAL EQUATION THEORY.Jiang, Xiao-Qian, Zhang, Lun-Chuan,.DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES S. 2019, 12(4-5), 969-978.