有交易费和连续红利时的期权定价公式

Option Pricing Formula with Transaction Costs and Continuous Dividends

期权定价模型为期权等金融衍生工具定价问题的研究带来了创新,但是该模型的一些基本假设与现实情况不符,使得由此计算出来的期权价格和实际金融市场上的期权价格有较大出入.作者通过改变无交易成本和无红利支付这2个条件改进了B-S模型,使其更具有现实意义,并利用偏微分方程基本解的方法,获得了修正后B-S模型的看涨-看跌期权的定价公式.

Black-Scholes option pricing model has brought innovation to the study of options and other financial derivatives＇ pricing. But some basic assumptions of the model are inconsistent with the reality, making option price calculated from the model digress with the actual price in financial market. This paper improves B-S model by changing two conditions, that is, no transaction costs and no dividend payments, to make it more correlated. Using the basic solution method of partial differential equations, the pricing formula of European call-put options is derived from the revised B-S model.