2个数学模型下的铜期权定价比较

doi:10.13438/j.cnki.jdzk.2020.03.011

吉首大学学报（自然科学版）

2个数学模型下的铜期权定价比较

王晚生，莫英，邓丹丹，郭永红

（1.长沙理工大学数学与统计学院，湖南长沙 410114；2.上海师范大学数理学院，上海 200234）

出版日期:2020-03-25 发布日期:2020-12-13
作者简介:王晚生（1977—），男，湖南茶陵人，长沙理工大学数学与统计学院教授（硕士生导师），上海师范大学数理学院教授（博士生导师），主要从事微分方程数值解研究.

Comparason of Copper Options Based on Two Mathematical Models

WANG Wansheng, MO Ying, DENG Dandan, GUO Yonghong

(1. School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410114, China;2. School of Mathematics and Physics, Shanghai Normal University, Shanghai 200234, China)

Online:2020-03-25 Published:2020-12-13

摘要/Abstract

摘要：

将估计的参数代入Black-Scholes模型和Merton跳-扩散模型，计算铜期权的认购期权合约在到期日之前的理论价格.对比2个模型的铜期权理论价格与实际期权价格发现，Merton跳-扩散模型的定价效果比Black-Scholes模型的更优，且在定价过程中Merton跳-扩散模型更稳定.

关键词： Black-Scholes模型, Merton跳-扩散模型, 铜期权, 期权价格

Abstract:

The estimated parameters were substituted into the black-scholes model and the Merton jump-diffusion model to calculate the theoretical price of the call option contract of the copper option before the expiration date.By comparing the theoretical price of copper options in the two models with the actual option price, it is found that the Merton jump-diffusion model is more stable than the black-scholes model in the pricing process.

Key words: Black-Scholes model, Merton jump-diffusion model, copper option, option price

王晚生，莫英，邓丹丹，郭永红. 2个数学模型下的铜期权定价比较[J]. 吉首大学学报（自然科学版）, DOI: 10.13438/j.cnki.jdzk.2020.03.011.

WANG Wansheng, MO Ying, DENG Dandan, GUO Yonghong. Comparason of Copper Options Based on Two Mathematical Models[J]. Journal of Jishou University（Natural Sciences Edition), DOI: 10.13438/j.cnki.jdzk.2020.03.011.

2个数学模型下的铜期权定价比较

Comparason of Copper Options Based on Two Mathematical Models

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