使用齐次饱和方程定价
Pricing Using a Homogeneously Saturated Equation
摘要：
提出了一个金融资产价格随时间发展的齐次饱和方程，并研究了噪声服从Student t分布的欧式看涨期权的定价问题.在方程饱和参数为零的条件下，得到了资产价格几何运动的标准模型。资产价格的均匀饱和方程类似于均匀加宽激光器输出的简单方程。均匀饱和方程倾向于限制回报的范围，因此似乎是现实的。从标准普尔500指数调整后的收盘价获得的线性回报的拟合被用来获得学生t分布和正态分布的最佳拟合参数，这些拟合被用来定价期权，并比较建模价格的方法。这项工作有价值的理解资产和欧式看涨期权的定价。
英文摘要：
A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit that the saturation parameter of the equation equals zero, the standard model of geometric motion for the price of an asset is obtained. The homogeneously saturated equation for the price of an asset is similar to a simple equation for the output of a homogeneously broadened laser. The homogeneously saturated equation tends to limit the range of returns and thus seems to be realistic. Fits to linear returns obtained from the adjusted closing values for the S&P 500 index were used to obtain best-fit parameters for Student's t-distributions and for normal distributions, and these fits were used to price options, and to compare approaches to modelling prices. This work has value in understanding the pricing of assets and of European call options.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
