支付红利的标的资产服从混合过程期权定价

Option pricing about underlying asset pricing process by mixed process with dividends-payment

目的研究支付连续红利的股票的行为模式。方法改变Black-Scholes期权定价模型的基本假设,运用随机微分方程研究标的资产服从混合过程的期权定价。结果得到支付红利的服从混合过程的股票期权定价公式及平价公式。结论进一步推广了Black-Scholes模型的结果,更为复杂的问题,尚待进一步研究。

Aim To study the behavior model of stock with dividend-payment. Methods By changing basic assumption of Black-Scholes option pricing model, utilize the partial differential equation to study underlying asset pricing process which is mixed process. Results The pricing formulae for European option and its parity are obtained under the underlying asset pricing process by mixed process with dividends-payment. Conclusion Black-Scholes model has been further generalized.