摘要
波动率是期权定价中的一个重要参数,但Black-Schooles公式在σ=0时无意义。解释了当σ=0时的金融意义;利用无套利原理得到了当σ=0时欧式期权的定价公式,结合对冲方法和Ito公式推导了期权价格所满足的偏微分方程,并在极限意义下,证明了Black-Scholes公式对于σ=0时也成立,给出了波动率很小时期权价格的近似估计。
The volatility is the key parameter in option pricing ,but Black-Scholes＇ formula makes no sense when the volatility is zero. This paper explains the financial means, and presents the pricing model and formula for European options by use of arbitrage-free principle when σ = 0 .Used hedging technique and Ito formula, the partial differential equation of option price is deduced. This paper proves that the Black-Scholes＇ formula also holds in the sense of limit when σ = 0, and estimates the option price when the volatility is very small
出处
《上海第二工业大学学报》
2007年第4期338-341,共4页
Journal of Shanghai Polytechnic University
基金
上海市重点学科建设基金资助项目(NO.T0502)
抚州市科技计划资助项目(2007)
东华理工大学校长基金资助项目(NO.DHXK0728)
