Application of chaos theory to option pricing

被引：0
|
作者：
Luo, Lan [1 ]
Li, Shi-qun [1 ]
机构：
[1] Guangzhou Univ, Coll Math & Informat Sci, Guangzhou, Guangdong, Peoples R China
来源：
PROCEEDINGS OF INTERNATIONAL SYMPOSIUM ON STATISTICS AND MANAGEMENT SCIENCE 2010 | 2010年
关键词：
Chaos theory; European options; Asian options; Options pricing; DESIGN;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Option has become one of the most energetic financial derivatives and has been applied widely and rapidly. In this paper, the chaos theory is proposed for option pricing. European option pricing formula and Asian option pricing formula are derived for the application of Chaos theory. The comparing results of simple European call option pricing among the Black-Scholes formula, the chaotic formula and Monte Carlo simulation are very similar.
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页码：205 / 208
页数：4
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