Chrome Extension
WeChat Mini Program
Use on ChatGLM
VIPCreated with Sketch.

考虑交易费用和泊松过程的沪深300股指期权定价研究

Fangling REN,Panhong XUE

Journal of Hubei University（Natural Science Edition）（2018）

Cited 1|Views3
No score
Abstract
对于沪深300股指期权的仿真模拟交易,考虑交易费用,考虑收盘价格异常波动下的泊松过程,搜集并整理最新的沪深300股指高频仿真交易数据,分别利用B-S定价模型和推广的B-S定价模型来模拟,利用解析式法和二叉树、三叉树法计算出股指期权价格,并比较其与真实市场价格的差异性,得出推广的B-S定价模型结果更优,为沪深300股指期权的定价提供一定的理论依据.
More
Translated text
Key words
HS300,stock index option,binomial tree model,triple tree model
AI Read Science
Must-Reading Tree
Example
Generate MRT to find the research sequence of this paper
Chat Paper
Summary is being generated by the instructions you defined