摘要
Black-Scholes期权定价的推导假定对冲是连续的以达到无风险. 但事实上, 股市收市后将不再有交易, 所以投资者不能连续的调整其投资组合, 故期权定价的风险是存在的. 本文讨论了这种不连续对冲带来的期权定价的风险, 并以美国股市的几种指标股为例, 给出其比率. 比率多在5%以上, 有的可以达到38%, 可见传统期权定价的风险不容小觑.
The Black-Scholes option pricing formula is derived with the assumption that the hedging is continuous. In practice, there is no trading when the stock market is closed. So the adjustment of portfolios is discontinuous, and the risk of option pricing exists. We consider the risk of option pricing caused by this kind of discontinuous hedging, and give the ratio of risk of several options in American stock market. We can see that the ratio is mostly exceed 5% and the risk of traditional pricing method of option can’t be ignored.
出处
《应用概率统计》
CSCD
北大核心
2010年第6期662-672,共11页
Chinese Journal of Applied Probability and Statistics
基金
supported by Key Programs for Natural Science Foundation of Anhui Province (KJ2010A234)
Natural Science Foundation in Anhui Universities (KJ2010B451)
Quality of teaching and educational reform construction project in Huainan Normal University (TSZY200902)
Key subject construction funds of applied mathematics in Huainan Normal University
