论文标题:动态投资策略下的Black-Scholes期权定价模型研究
The Research of the Black-Scholes Option Pricing Model under the Situation of Dynamic Investment Strategy
论文作者
论文导师 王雪峰,论文学位 硕士,论文专业 金融学
论文单位 哈尔滨工业大学,点击次数 131,论文页数 94页File Size1036K
2006-06-01论文网 http://www.lw23.com/lunwen_585285977/
Option; Stock; Option pricing; Investment strategy
期权是金融衍生品市场创新的典范。期权工具已经成为投资者进行防范风险的重要工具。Black-Scholes期权定价公式对期权定价和风险的管理进行了定量的分析,是期权工具迅速普及的有力支持。传统的Black-Scholes期权定价模型没有考虑在股票价格发生变化的情况下投资者在股票市场上的投资行为,仅仅假定投资者是以期权这种工具进行防范风险,不考虑投资者在期权有效期内的股票交易行为。如果将投资者在股票市场上买卖股票来主动防范风险和减少损失的行为考虑进期权定价中,则期权需要弥补的投资者在股票市场中的损失比不进行股票交易时投资者的损失小。 本文在传统的Black-Scholes期权定价公式模型相关理论的基础上,把投资者在股票市场上主动避险、减少损失的投资策略考虑进期权定价模型中,利用Black-Scholes期权定价的相关理论,推导出动态投资策略下的看涨和看跌期权定价公式,并对动态投资策略下的期权定价公式进行了详细的分析,总结出动态投资策略下的期权定价公式的性质。最后从不同方面对动态策略下的期权定价模型与传统的Black-Scholes期权定价公式进行了详细的分析、比较,得出在防范同样风险的条件下,动态投资策略下的期权价格比传统的Black-Scholes期权定价下的期权价格低的结论。
Option is an example of financial derivative’s innovation. Option is an important tool for investors to keep away risk. The formula of Black-Scholes analyzes the pricing of option and risk management from the quantitative view. This is a powerful sustainment for the option’s popularization. Traditional Black-Scholes formula hasn’t considered the investors’behavior under the situation that the price of stock changes. Black-Scholes formula only assumes that investors keep away risk using option, neglects that the investors can keep away risk and reduce risk through buying and selling stocks. If we consider this in the course of option pricing, the lost of buying stocks that option must redeem is smaller than not buying stocks. This paper considered the investors’behavior of keeping away risk and the Investment strategy of reducing the lost when build the model of option pricing. These improvements are on the basis of traditional Black-Scholes formula. Using the relative theory on Black-Scholes option pricing, we get the call option and put option’s pricing formula under the situation of dynamic investment strategy. Also we get the formula’s property through analyzing its all aspects. At last, we compare our formula with traditional formula and get the result that option price under dynamic investment strategy is lower than the price made by Black-Scholes formula when keeping away the same risk.
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