摘要
Black-Schole期权定价模型成功解决了有效市场下欧式期权定价问题,但是研究者必须考虑现实金融市场中所面临的问题.本文在股票支付连续红利率ρ(t)、波动率σ(t)、无风险利率r(t)的情况下,建立支付连续红利率服从跳过程的期权定价模型,并利用鞅论和随机分析的方法给出了组合期权的定价公式.
Black-Schole modle has solve the problem of Euro-option in efficient market successfully.But the investors have to face considerable and irrneglectable costsin real financial market.The option pricing problem has attracted much attention of researches and with the development of option and option theories.The writer of this paper makes a study of the pricing problem of European commodity option under the assumptions that the divident ρ（t）,the volatility σ（t）,risk-free rate r（t）.Thus,the pricing formula for the European Call-put option and their call-put parity are obtained.
出处
《山西师范大学学报（自然科学版）》
2012年第1期31-35,共5页
Journal of Shanxi Normal University(Natural Science Edition)
