| 期权定价及实证分析 |
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| 引用本文： | 顾柯巍.期权定价及实证分析[J].浙江万里学院学报,2011,24(2):29-33. |
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| 作者姓名： | 顾柯巍 |
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| 作者单位： | 浙江万里学院,浙江,宁波,315100 |
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| 摘 要： | 文章介绍了期权定价理论的发展,给出了3种期权定价模型,并结合中国证券市场中的权证,通过绘图及计算分析得出理论价格与市场价格的偏差,并比较这3个模型的优劣.
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| 关 键 词： | 期权定价 Black-Scholes模型 二叉树模型 蒙特卡罗模型 |
Option Pricing and Analysis |
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| GU Ke-wei.Option Pricing and Analysis[J].Journal of Zhejiang Wanli University,2011,24(2):29-33. |
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| Authors: | GU Ke-wei |
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| Institution: | GU Ke-wei(Zhejiang Wanli University,Ningbo Zhejiang 315100) |
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| Abstract: | This paper discusses the development of option pricing theory and describes three option pricing models.Combined with China's securities market in warrants,the deviations between theoretic prices and market prices are studied through graphic and computational analysis and the advantages and disadvantages are compared among these three models. |
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| Keywords: | option pricing Black-Scholes model binomial model Monte Carlo model |
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