湖北工业大学学报
湖北工業大學學報
호북공업대학학보
JOURNAL OF HUBEI UNIVERSITY OF TECHNOLOGY
2011年
5期
96-98
,共3页
股指期权%等价鞅测度%Black-Scholes公式%套期保值
股指期權%等價鞅測度%Black-Scholes公式%套期保值
고지기권%등개앙측도%Black-Scholes공식%투기보치
stock index option%the equivalent martingale measure%Black-Scholes formula%hedging
介绍了股指期权,并利用等价鞅测度定理给出股指期权定价的一般公式,研究了股指期权的风险管理的Delta套期保值方法,并指明研究的价值与意义.
介紹瞭股指期權,併利用等價鞅測度定理給齣股指期權定價的一般公式,研究瞭股指期權的風險管理的Delta套期保值方法,併指明研究的價值與意義.
개소료고지기권,병이용등개앙측도정리급출고지기권정개적일반공식,연구료고지기권적풍험관리적Delta투기보치방법,병지명연구적개치여의의.
An introduction is made to stock index options and an European warrants pricing general formula is presented by using equivalent martingale measure theorem.The stock index option risk management of Delta hedging method is studied and the research value and significance related are pointed out.
