Valuation and Hedging of European Contingent Claims by the Interacting Particle Models

摘要：

In this paper, applying the theory of fluctuations of the interfaces for interacting particle models, we construct a financial price model that contains two types of investors, and we use this financial model to describe the behavior and fluctuations of a stock price process in a stock market. By using the stochastic methods of statistical physics, we show that the probability distribution of the normalized random price process for this financial model converges to the corresponding distribution of the Black-Scholes model.Further, we discuss the valuation and hedging of European contingent claims for this price process model.

关键词： European contingent claims Fluctuations Stock price Gibbs measure Contact process

作者: Wang Jun Ji Meifeng

作者单位: Institute of Financial Mathematics and Financial Engineering Department of Mathematics, Beijing Jiaotong University Beijing, P.R.China, 100044

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 697-702

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）