一种含有价值漏损的实物期权定价模型

A Pricing Model of Real Option with Ieakage in Value

期权价值是从与期权有相同损益的流通证券组合的价值推演出来的。但实际上,由于价值"漏损"的存在,期权价值与流通证券组合价值之间存在一定的偏差。通过增加一个漏损参数(可看作资产的固定比例δ)对二叉树期权定价模型进行修正。同时,针对传统实物期权定价中参数u、d计算方法的不足,重新构造参数计算公式。最后,应用一个装备生产企业的实例,对传统模型与所构造模型的期权价值进行了比较。

Option value is deduced from the value of combination of the negotiable instrument that has the same profit and loss with it. In fact, with the existing of leakage in value, there is a certain deviation between them. This paper corrects the binomial tree pricing model by augmenting a leakage parameter. At one time, to the deficiency of parameter of u,d in traditional model make anew parameter algorithmic formula. At last, through to an equipment enterprise, it compares the option value of the traditional model with this model.