| Black-Scholes 模型期权定价方法及其应用 |
| |
| 引用本文： | 李春泉,刘新平.Black-Scholes 模型期权定价方法及其应用[J].重庆工商大学学报(自然科学版),2006,23(4):351-353. |
| |
| 作者姓名： | 李春泉 刘新平 |
| |
| 作者单位： | 陕西师范大学,数学与信息科学学院,西安,710062 |
| |
| 基金项目： | 国家自然科学基金资助项目(40271037) |
| |
| 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 |
| 文章编号： | 1672-058X（2006）04-0351-03 |
| 收稿时间： | 2006-04-25 |
| 修稿时间： | 2006-04-252006-05-12 |
Black-Scholes stock option pricing model and its application |
| |
| LI Chun-quan,LIU Xin-ping.Black-Scholes stock option pricing model and its application[J].Journal of Chongqing Technology and Business University:Natural Science Edition,2006,23(4):351-353. |
| |
| Authors: | LI Chun-quan LIU Xin-ping |
| |
| Institution: | School of Mathematics and Information Science,Shanxi Normal University,Xian 710062, China |
| |
| 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 modifies the equation in order to apply the equation to pricing European-style derived securities and hedging and dividend payment of the volatility of the assets. |
| |
| Keywords: | Black-Scholes model stock option pricing European-style stock option dividend |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《重庆工商大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《重庆工商大学学报(自然科学版)》下载免费的PDF全文 |
