The modelling of stock price and its option pricing in a financial stock market

被引：0

作者：

Wang, Jun ^{[1
]}

Wang, Juan ^{[1
]}

Fan, Bingli ^{[1
]}

机构：

[1] Beijing Jiaotong Univ, Inst Financial Math & Financial Engn, Dept Math, Beijing 100044, Peoples R China

来源：

PROCEEDINGS OF FIRST INTERNATIONAL CONFERENCE OF MODELLING AND SIMULATION, VOL IV: MODELLING AND SIMULATION IN BUSINESS, MANAGEMENT, ECONOMIC AND FINANCE | 2008年

关键词：

stochastic process; stock price; option pricing; stock trade volume; risk aversion;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we model a stock price by stochastic process, and then discuss the contingent claim pricing and hedging of European call option. The stock trading volume is applied to describe and study the fluctuations of stock price process in a stock market, and we obtain the formula for pricing a European call option. Then we discuss the range of parameters of the formula in a risk-averse market, and give the corresponding option pricing bounds.

引用

页码：332 / 335

页数：4

共 3 条

[1] What really causes large price changes? [J].