摘要
Black-Scholes期权定价模型成功解决了有效市场下的欧氏期权定价问题,然而,在现实的证券市场中,投资者将面临数量可观、不容忽视的交易费用。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。文章针对在波动率s(t),无风险利率r(t),红利率q1(t),储藏支付率q2(t)均为时间t的确定性函数和在证券市场中有交易成本的假设下,得到了欧氏商品期权的定价公式,从而获得欧氏看涨期权和看跌期权的定价公式及它们的平价公式。
Black-Scholes model has successfully solved the problem of Euro-option in efficient market. But investors have to face considerable and irneglectable transaction costs in real financial market. With the development of option and option theories, the issue of option pricing has attracted much attention from researchers. The authors of this paper study the pricing problem of European commodity option under the assumptions that the volatility s（t）, risk-free rate r（t）, dividend q1 （t）, and store payment rate q2 （t） are all known functions of t and that there exsits a trasaction cost in the securities business. The pricing formula for the European call-put option and their call-parity are thus obtained.
出处
《新疆师范大学学报（自然科学版）》
2008年第1期35-39,共5页
Journal of Xinjiang Normal University(Natural Sciences Edition)
关键词
看涨期权
看跌期权
交易成本
期权定价
平价公式
European call option
European put option
transaction cost
option pricing
call- put parity formula
