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| 摘要: |
| 介绍了标准的B lack-Scholes期权定价,推导出欧式期权定价的一般微分方程及其解,给出了欧式看涨和看跌期权的定价公式以及平价关系,并对此加以分析和修改后,使之应用于欧式期权衍生证券的定价、套期保值以及标的资产支付红利等各种情形。 |
| 关键词: Black-Scholes模型,期权定价,欧式期权,红利 |
| DOI： |
| 分类号:F830.91 |
| 基金项目:国家自然科学基金资助项目(40271037) |
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| Black-Scholes stock option pricing model and its application |
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LI Chun-quan LIU Xin-ping
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| Abstract: |
| This paper introduces standard Black-Scholes stock option pricing model,deduces European-style differential equation and its solution,gives pricing formula and relation of the rise and fall of the shares according to European-style equation,analyzes and m |
| Key words: Black-Scholes model,stock option pricing,European-style stock option,dividend |
