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本文假定股票价格满足Ocone鞅,利用倒向随机微分方程的相关知识及Ocone鞅的特殊性质,讨论了Ocone鞅驱动的倒向随机微分方程在欧式期权定价中的应用。给出了欧式看涨期权的完全套期保值性。
In this paper, Ocone martingale is assumed to be the stock price, and by using the related knowledge of back-stochastic differential equations and the special properties of Ocone martingales, we discuss the application of Octe martingale driven backward stochastic differential equations in European option pricing. The complete hedging of European call options is given.