基于波动率状态转移的股票配资模型
Stock Loan Model under Volatility Regime Switching
DOI: 10.12677/AAM.2018.75059, PDF,    科研立项经费支持
作者: 朱 萱, 谢苗苗, 高 月, 吴丽玲：怀化学院数学与计算科学学院，湖南 怀化
关键词: 股票配资；股票期权；期权偏微分方程；有限差分方法；Stock Loan； Stock Option； Option Partial Differential Equation； Finite Difference Method
摘要: 在股票波动率服从状态转移模型的假定下，利用期权定价原理建立股票配资问题的数学模型，同时使用有限差分方法进行求解。本文用数值算例说明配资炒股的收益和风险之间的关系，模型具有很好的实际应用价值。
Abstract: Under Volatility Regime Switching and by using option pricing theorem, this paper establishes a mathematical model for stock loan, and then uses finite difference method to solve it. Some nu-merical examples illustrate that the proposed model has good efficiency at the aspect of analyzing interest rate and risk rate.
文章引用：朱萱, 谢苗苗, 高月, 吴丽玲. 基于波动率状态转移的股票配资模型[J]. 应用数学进展, 2018, 7(5): 495-500. https://doi.org/10.12677/AAM.2018.75059

参考文献

[1] Lu, X.P. and Putri, E.R.M. (2015) Semi-Analytic Valuation of Stock Loans with Finite Maturity. Communications in Nonlinear Science and Numerical Simulation, 27, 206-215.
[Google Scholar] [CrossRef] 
[2] Lu, X.P. and Putri, E.R.M. (2016) Finite Maturity Margin Call Stock Loans. Operations Research Letters, 44, 12-18.
[Google Scholar] [CrossRef] 
[3] Zhou, Z. and Gao, X. (2016) Numerical Methods for Pricing American Options with Time Fractional PDE Models. Mathematical Problems in Engineering, 2016, Article ID: 5614950, 8 p.
[4] Zhou, Z. and Ma, J. (2016) Lattice Boltzmann Methods for Solving PDEs of Exotic Option Pricing. Frontiers of Mathematics in China, 11, 237-254.
[Google Scholar] [CrossRef] 
[5] 吴红英, 朱萱, 杨令. 股票配资的收益与风险控制模型[J]. 怀化学院学报, 2017(11): 37-40.
[6] Shreve, S.E. (2003) Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. Springer, New York.
[7] Shreve, S.E. (2004) Stochastic Calculus for Finance II: Continuous-Time Models. Springer Press, New York.
[Google Scholar] [CrossRef] 

为你推荐