CAJ | 학술논문

机游走模型(Random Walk)和对数正态分布模型是两种最常见的描述股票价格的模型,但是这两种都存在着一定的缺陷,距离实际上的波动还具有较大的差距.波动源模型更全面的考虑了大量散户交易者对股票价格的影响,以及其他的一些因素,能够更加接近实际的描述出股票的价格变动以及波动现象援在股票价格波动源模型下,利用Martingale Pricing方法推导出欧式下出局期权(买权)的定价公式援作为特例,同时得到了传统的对数正态分布模型下欧式下出局期权的定价公式.
궤유주모형(Random Walk)화대수정태분포모형시량충최상견적묘술고표개격적모형,단시저량충도존재착일정적결함,거리실제상적파동환구유교대적차거.파동원모형경전면적고필료대량산호교역자대고표개격적영향,이급기타적일사인소,능구경가접근실제적묘술출고표적개격변동이급파동현상원재고표개격파동원모형하,이용Martingale Pricing방법추도출구식하출국기권(매권)적정개공식원작위특례,동시득도료전통적대수정태분포모형하구식하출국기권적정개공식.
Random Walk and the lognormal distribution model are the two most common description of stock price model, but the two have some flaws, also have a big gap distance actually fluctuations. The wave source model is more comprehensive account of influence of a large number of retail traders on stock prices, and other factors, can be more close to the actual description of stock price movements and volatility. Under the models of stock price fluctuation we get the pricing formula of the European Down-and-Out Calls by means of Martingale approach (risk-neutral valuation),especially,we get the pricing formula under the models of lognormal distribution.