B-S与GARCH模型下期权定价比较及实证分析

An Empirical Research of Option Pricing with B-S And GARCH Model

本文在B-S模型和GARCH(1,1)模型下,研究具体的数值算法,说明了波动率的计算方法。通过对长电CWB1(580007)进行实证分析,得到两种模型下股票期权的定价与市场价格的偏度,说明了GARCH(1,1)模型定价优于B-S模型的结论。

This paper will study concrete numeric algorithm, explaining the calculating method according to the B-S model and the GARCH（1,1） model. Through the demonstration analysis of CWBI（5 the market price of skewness was got under two models-the B-S model and the GARCH that the price of GARCH（1,1） model is more reasonable than the price of B-S model. the stock option, pricing and （1,1） model, which conclude