Black-Scholes模型期权定价方法及其应用

Black-Scholes stock option pricing model and its application

介绍了标准的B lack-Scholes期权定价,推导出欧式期权定价的一般微分方程及其解,给出了欧式看涨和看跌期权的定价公式以及平价关系,并对此加以分析和修改后,使之应用于欧式期权衍生证券的定价、套期保值以及标的资产支付红利等各种情形。

This paper introduces standard Black -Scholes stock option pricing model,deduces European - style differential equation and its solution,gives pricing formula and relation of the rise and fall of the shares according to European - style equation,analyzes and modifies the equation in order to apply the equation to pricing European - style derived securities and hedging and dividend oayment of the volatilitv of the assets.