偏度和峰度调整下Black-Scholes模型及实证分析

Skewness and Kurtosis-adjusted Black-Scholes Model and Its Empirical Analysis

在传统Black-Scholes模型的基础上,引入了Gram-Charlier级数展开,推导出了基于偏度和峰度调整的Black-Scholes公式(SKB-S)。并以武钢CWB1的数据为例,通过Matlab计算的结果显示,调整后的定价公式优于传统的Black-Scholes公式(B-S)。

Based on the traditional Black - Scholes model, the Gram - Charlier series expansion was introduced to deduce the skewness and adjusted Black - Scholes formula （ SKB - S）. Taking Wugang（ Wuhan Iron and Steel Corporation） CWB1 as an example,the results of the Matlab was calculated. It shows that the adjusted pricing formula is superior to the traditional Black - Scholes formula （ B - S）.