摘要
Black-Scholes模型成功地解决了有效市场下的欧式期权定价问题.然而,在现实的证券市场中,投资者将面临数量可观、不容忽视的交易成本.随着期权以及期权理论的不断发展,期权定价问题引起了越来越多的研究者和投资商的不断关注.基于股票价格的对数正态分布假设,运用Black-Scholes模型和无套利原理,创建了能够反映无交易成本和有交易成本的期权定价模型,从而得到欧式看涨期权和看跌期权的定价模型.
Black-Scholes model has solved the problem of Euro-option pricing in efficient market successfully. But the investors have to face considerable and in-neglectable transaction costs in real financial market. The option pricing problem has attracted much attention of researches and investors with the development of option and option theories. Based on the hypothesis of lognormal distribution of stock prices and the principle of non-arbitrage, the Black-Scholes model is used to set up option pricing model which reflects the situations with no transaction costs and transaction costs. Pricing models for Euro-options are derived for the calls and puts.
出处
《沈阳工业大学学报》
EI
CAS
2006年第3期331-334,共4页
Journal of Shenyang University of Technology
基金
辽宁省教育厅高等学校人文社科研究资助项目(20040392)
