欧式期权定价模型探析

Analysis of European option pricing model

期权定价正受到广泛关注,其中最有影响力的是1973年Fisher Black和Myron Scholes提出的Black-Scholes期权定价模型.该模型通过一系列的假设条件,得出了资产价格S在时间t的函数的偏微分方程,再通过对未知变量的转换,求出了该偏微分方程的解,即Black-Scholes期权定价公式,此公式在现实中的应用不断地发展,陆续出现了许多新的期权品种,这促进了金融市场的繁荣和稳定.鉴于我国金融衍生市场的发展尚处于初级阶段,引入Black-Scholes期权定价模型的确是十分必要的.

Great attention has been put into option pricing,among all these perspectives,the most famous one is Black-Scholes option pricing model which was introduced by Fisher Black and Myron Scholes in 1973.Based on a series of hypotheses,this model presented a partial differential equation about the asset price S at time t.Furthermore,it worked out the solution to the PDE through several transformations of unknown variables,namely the Black-Scholes Formula.This model has been applied into the real world gradually,and many innovative kinds of options appear,which positively affect the prosperity and stability of financial market.Considering the initial phase of the development of the financial derivatives market in China,it is essential to give some explanations of Black-Scholes option pricing model.