基于非线性投资策略的看涨期权定价模型

Study on the Call Option Pricing Model under the Nonlinear Dynamic Investment Strategy

Black-Scholes期权定价理论是假设持有人在期权的有效期内不进行股票交易,然而期权持有人买入期权后还可能在期权的有效期内进行交易的投资策略.假定按照非线性的投资策略持有股票,并给出期权的定价公式,在适当的条件下新期权定价公式退化为经典的定价公式,并且它的价格更便宜.

Based on Black-Scholes option pricing theory,the classic option pricing theory assumes that the holder is not trading in the stock option within the validity period. In this paper,we consider the option holder after the call option may be traded within the validity period of the option of investment strategy. According to the investment strategy of nonlinear hold shares, we have obtained the pricing formulas, and the improved option pricing formula under the appropriate conditions for the degradation of the classical pricing formula.