| Option-pricing of Completeness Market and the Choice of Hedging-trade Strategies |
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| 作者姓名： | FU Qiang PU Xing cheng |
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| 摘 要： | This article is based on the existence of an arbitrage about a portfolio in an disequilbrium market under the supposition of the stochastic market. The authors defined the T option priee equilibrium price, and illuminated these definitions at first. With the knowledge of stochastic analysis, it is demonstrated that the price of European put option equals its callo ption. They both equal equilibrium price. In addition, under the same supposition, it is discussed that the choice of hedging trade planning, got the formula of hedging trading.A example to show how to use the formula.
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| 关 键 词： | option pricing hedging strategy stochastic market |
| 修稿时间： | 2003/1/15 0:00:00 |
Option-pricing of Completeness Market and the Choice of Hedging-trade Strategies |
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| FU Qiang,PU Xing cheng.Option-pricing of Completeness Market and the Choice of Hedging-trade Strategies[J].Storage & Process,2003(5):86-89. |
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| Authors: | FU Qiang PU Xing cheng |
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| Abstract: | This article is based on the existence of an arbitrage about a portfolio in an disequilbrium market under the supposition of the stochastic market. The authors defined the T option priee equilibrium price, and illuminated these definitions at first. With the knowledge of stochastic analysis, it is demonstrated that the price of European put option equals its callo ption. They both equal equilibrium price. In addition, under the same supposition, it is discussed that the choice of hedging trade planning, got the formula of hedging trading.A example to show how to use the formula. |
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| Keywords: | option pricing hedging strategy stochastic market |
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