%0 Journal Article
%T Study of Modern Security Pricing Model<br>现代证券定价模型研究
%A SUN You-fa
%A ZHANG Cheng-ke
%A GAO Jing-guang
%A DENG Fei-qi
%A <br>孙有发
%A 张成科
%A 高京广
%A 邓飞其
%J 系统工程理论与实践
%D 2007
%I 
%X Basing on the theory of system,epistemology and of feedback control,a new security pricing model-stochastic volatility pricing model(SVPM) with jump and feedback,is proposed by amending a defect lying in the original models that neglect the important events happened frequently in financial markets,and by importing the interaction between investors and security price.Theoretical analysis,numerical simulations and practical applications all show that the new model simulates the complex behaviors of real security price better than the traditional SVPMs and its output price series possess the same statistical characteristics of return as that of the real ones;besides,compared with the existing short-term security price predicting models,the new model is of high precision and efficiency,robustness as well as universality.
%K asset pricing
%K stochastic volatility
%K jump
%K system theory
%K feedback control<br>资产定价
%K 随机波动
%K 跳
%K 系统论
%K 反馈控制
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=91F011A320C72A2E&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=94C357A881DFC066&sid=CA4FD0336C81A37A&eid=708DD6B15D2464E8&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=17