Lagrange方法和期权定价

The Lagrange Method and Option Pricing

  • 摘要: 本文对于连续时间的随机最优控制问题,建立起随机Lagrange方法.然后,利用该方法讨论了欧洲期权的定价问题。

     

    Abstract: In this paper, we consider a stochastic optimal control problem with continuous time. First, the stochastic Lagrange method is set up. Then, we apply the method to the European option pricing.

     

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