| A股市场投资者处置效应分析 |
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| 引用本文： | 胡攀.A股市场投资者处置效应分析[J].绵阳师范高等专科学校学报,2013(11):21-25,31. |
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| 作者姓名： | 胡攀 |
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| 作者单位： | 四川文理学院数学与财经学院,四川达州635000 |
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| 基金项目： | 四川文理学院院级科研项目（2012Z006Y）. |
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| 摘 要： | 处置效应是一种投资者认知偏差所引起的非理性行为，投资者倾向于提前卖出获利的有价证券，而保留已亏损的有价证券．前景理论的“S”型的认知函数从效用函数方面有利地解释了投资者的处置效应行为．为了论证中国股票市场的处置效应，选取A股周价格指数来衡量股票价格的波动，每周A股持仓账户数来描述投资者的投资行为，得出结论：A股市场投资者存在处置效应．
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| 关 键 词： | 处置效应 前景理论 A股指数 VAR模型 |
Pricing Formula of Geometric Average Asian Option Driven by Fractional Brownian Motion with Transaction Costs |
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| HU Pan.Pricing Formula of Geometric Average Asian Option Driven by Fractional Brownian Motion with Transaction Costs[J].Journal of Mianyang Teachers College,2013(11):21-25,31. |
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| Authors: | HU Pan |
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| Institution: | HU Pan (Dept. of Mathematics ＆ Finance, Sichuan University of Arts ＆ Science, Dazhou, Sichuan 635000) |
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| Abstract: | Assume that the underlying price follows geometric Brownian motion model, the geometric average Asian option pricing was changed into the question of solving partial differential equation by fractional Ito formula and self- financing trading strategy. The pricing formula of the geometric average Asian option Driven by Frac- tional Brownian Motion with Transaction Costs was obtained by solving the partial differential equation. |
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| Keywords: | fractional Brownian motion geometricfinancing trading strategy fractional Ito formulaaverage Asian option partial differential equation self- |
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