Black—Scholes期权定价模型的优化

【作者】 彭卫； 党耀国；

【机构】 南京航空航天大学；

【摘要】 Black一Schole模型成功解决了在有效市场下的期权定价问题,但是它的假设前提较为严格。在实际的市场行为中,通常投资者在得到一定的股票红利的同时会面临着不容忽视的交易成本。此外,早期的Black—Scholes模型及其修正模型都假设股票的价格服从几何布朗运动,但通过分析股票价格的行动过程,我们发现现实当中股票价格服从几何布朗运动并不理想。本文通过引入股票价格服从混合过程,且考虑交易成本的情况,推导出一种新的期权定价方程,从而使Black—Scholes模型更符合市场实际.。更多还原

【Abstract】 Although Black-Scholes model successfully solved the pricing question under effective market,it was under certain supposed conditions.In actual transaction in the market,the investor usually obtains the certain stock dividend while facing a quantity transaction cost which is not neglected.Besides, early Black-Scholes model and revision model all propose stock price obey geometry Brownian movement. But through the analysis of stock price’s action,we discovered that in the reality the stock price’s obedience of geometry Brownian movement is not ideal.By the introduction of stock price obeying mix process,and the consideration of transaction cost,this article infers one kind of new option fixed price equation,thus causes the Black-Scholes model more comply with the market reality..更多还原