期权定价理论的产生与发展

Option pricing theory:the evolution and development

期权理论研究的重点在于两个方向 :一个方向是如何构造出新的期权 ,以满足不断变化的市场投资需要 ;另一个方向是如何确定日趋复杂的期权的价值。在期权定价研究方面 ,80年代以前的研究一般都假定期权所依赖的基础资产的价格为一连续随机过程 ,市场也是“完善”的 ,在这些比较理想化假设条件下 ,经济学家们获得了许多重要的期权定价模型 ,特别是布莱克—斯科尔斯模型。近十多年来 ,得益于计算机技术的快速发展 ,期权定价理论研究在以下两个方面得到很大发展 ,取得了大量研究成果 :一是研究在不完善市场条件下如何确定期权价值问题 ;二是研究期权所依赖的基础资产价格不是一连续随机过程 ,而是服从跳 -扩散过程的定价问题。

The research on option pricing theory is focused on the following two aspects:one is how to design new options to satisfy the changing investment demand;the other is how to price the more and more complicated options.There are two assumptions on option pricing research before 1980s:the price variation of underlying assets is a continuous stochastic process and the market is perfect.Under these ideal assumptions,economists induced many important models on option pricing,the most famous one is Black Scholes Model.Benefited from the rapid development on computer technology in these ten years,we made great progress and gained a great deal of results on option pricing research.First is research on how to price options under imperfect markets.Second is how to price options if the price variation of underlying assets is not a continuous stochastic process,but a jumpdiffusion stochastic process.