辽宁工程技术大学学报(自然科学版)
遼寧工程技術大學學報(自然科學版)
료녕공정기술대학학보(자연과학판)
JOURNAL OF LIAONING TECHNICAL UNIVERSITY(NATURAL SCIENCE)
2013年
5期
713-716
,共4页
几何布朗运动%马氏过程%无风险市场%风险市场%风险管理%金融市场%看跌期权%资本市场价格%风险期望
幾何佈朗運動%馬氏過程%無風險市場%風險市場%風險管理%金融市場%看跌期權%資本市場價格%風險期望
궤하포랑운동%마씨과정%무풍험시장%풍험시장%풍험관리%금융시장%간질기권%자본시장개격%풍험기망
geometric Brownian motion%Markov process%risk free market%risk market%risk management%finance market%put option%Capital market price%risk expectation
针对标的资产服从几何布朗运动的期权价格风险问题,通过购买看跌风险降低股票风险,将市场分为风险市场和无风险市场,建立服从几何布朗运动的资本运营过程,使其更加贴近实际情况。讨论了风险市场和无风险市场资本运营的情况,利用随机过程相关知识给出了购买过看跌期权后的期末最终资本的市场价格期望、最终资本的市场价格超过给定值的概率及期末最终损失的期望。所得结论对预防股票风险具有一定的指导意义。
針對標的資產服從幾何佈朗運動的期權價格風險問題,通過購買看跌風險降低股票風險,將市場分為風險市場和無風險市場,建立服從幾何佈朗運動的資本運營過程,使其更加貼近實際情況。討論瞭風險市場和無風險市場資本運營的情況,利用隨機過程相關知識給齣瞭購買過看跌期權後的期末最終資本的市場價格期望、最終資本的市場價格超過給定值的概率及期末最終損失的期望。所得結論對預防股票風險具有一定的指導意義。
침대표적자산복종궤하포랑운동적기권개격풍험문제,통과구매간질풍험강저고표풍험,장시장분위풍험시장화무풍험시장,건립복종궤하포랑운동적자본운영과정,사기경가첩근실제정황。토론료풍험시장화무풍험시장자본운영적정황,이용수궤과정상관지식급출료구매과간질기권후적기말최종자본적시장개격기망、최종자본적시장개격초과급정치적개솔급기말최종손실적기망。소득결론대예방고표풍험구유일정적지도의의。
On account of the problem that option price risk of which the underline asset follows the geometric Brownian, the problem of stock hedging through buying a put option is concerned, this paper divided the market into risky market and the risk free market, and built the process of capital operation which follows the geometric Brownian. The model reflects the realities. The problem about capital operation in risky market and the risk free market is studied. Using stochastic process knowledge, the paper obtained the expectation of the final market price of the portfolio, the probability of the final market price of the portfolio which exceeds a give threshold and the expectation of the final risk. This study is useful to prevent the risk of stock.