【摘要】 最优投资是期权定价中投资者面对的关键问题,投资者如何选择合适的执行价格和期权的有效期限,以使期权到期日的价格最高,是一个复杂的非线性连续优化问题;文章引入进化计算中的粒子群算法来解决这一问题,提出了一种基于粒子群的期权定价最优投资算法,为投资者提供有效的决策支持;针对Black-Scholes模型进行了算法的设计和实现,并以一个典型算例说明了该算法的有效性。更多还原

【Abstract】 Investment optimization is a key problem in the option pricing.It is a complicated non-linear continuous optimization problem to select the optimal strike price and expiration time in order to maximize the option price.This paper introduces a kind of evolving calculation method,particle swarm optimization,to solve the problem,and presents an investment optimization algorithm for option pricing,which can provide decision support for investors.Based on the Black-Scholes model,the algorithm is designed and realized.Finally,a typical simulation study is carried out to illustrate the validity of the algorithm.更多还原