Applications of Martingale Methods in Stock Index Option

摘要：

The stock index option is introduced and its pricing formula is obtained by using of equivalent martingale measures model. Managing stock index option risk is begun with an effective technique known as Delta hedging. The importance and significance are pointed out in current circumstance.

关键词： stock index option equivalent martingale measures model stock index option black-scholes formula hedging

作者: ZHU Yonggang

作者单位: School of Science, China Three Gorges University, P.R.China, 443002

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 504-508

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）