摘要
Black-Scholes模型成功地解决了在有效市场下的期权定价问题,但它是在一定的假设条件下建立的.然而在实际的交易中,投资者通常会在得到一定的股票红利的同时也将面临着不容忽视的交易成本.本文在Black-Scholes模型的基础上,对界定了交易成本并考虑红利支付的情况下的期权定价的模型进行研究,从而使Black-Scholes模型更符合市场实际.
Black-Scholes model successfully solved the pricing question under effective market, but it was under certain supposed conditions. In the actual transaction, the investor usually obtain the certain stock dividend while facing a quantity transaction cost which is not neglected. On the foundation of Black-Scboles model, this article studied on the pricing model, considering both the transaction cost and the dividend payment at the same time, so Black-Scholes model can be more conform to the actual market.
出处
《周口师范学院学报》
CAS
2007年第2期43-45,共3页
Journal of Zhoukou Normal University