一般注記type:text
This paper presents a theory which explains the determination of the option premiumallowing for heterogeneity in opinion among investors . The price movement subjectivelyanticipated by investors is described by a stochastic differential equation which includestwo independent Brownian motion processes , Z and W. Here, Z produces differencesin opinion among investors and W produces the subjective uncertainty . From this thestochastic differential equation is obtained for the derivative assets. Together with themarket equilibrium condition, this gives the partial differential equations for futures andoptions. The particular solution provides an option premium formula , which has threeparameters; inter-individual volatility g, standard subjective volatility v0 and a deviatingparameter a. It has the same form as the Black-Scholes formula if a=0, except that theB-S volatility is replaced by (数式). This formula has been validated using the Nikkei225 stock index options data.
DOI10.14991/004.00000036-0001
一次資料へのリンクURLhttps://koara.lib.keio.ac.jp/xoonips/modules/xoonips/download.php?koara_id=AA10715861-00000036-0001
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース(IRDB)(機関リポジトリ)