作　　者： ; (许朝君）;

机构地区： 深圳大学

出　　处： 《价值工程》 2015年第6期9-12,共4页

摘　　要： 由于B-S定价公式是在完全市场条件假设下推导出来的,这与现实存在很大的出入,所以后来的学者就针对市场条件状况,研究了不同市场条件下的期权定价,其中以不确定性市场条件下的期权定价为主,这显然与事实更加吻合。不确定性市场下的期权定价研究主要有欧式期权定价的情形、美式期权定价的情形、二叉树期权定价的情形以及实物期权定价的情形。文章在此基础上,分析总结了在这个市场假设条件下的研究现状,并给出了未来值得深入研究的方向:主要是进一步放松B-S定价模型的假设条件,引入更多的现实因素,深入研究不同市场状况下的期权定价问题。 Because B-S option pricing formula was derived under the assumption of complete market condition, which was inconsistent with the reality. So according to market condition, the later scholars studied the option pricing under different market conditions, including uncertainty market, which was obviously more consistent with fact. Option pricing research situations under uncertainty market consist of European option pricing, American option pricing, binomial tree option pricing, and real option pricing. Based on that, this paper summarized the research status under this market hypothesis, and gave the further research direction. Mainly, further eased the assumptions of B-S pricing model, introduced more realistic factors, in-depth studied the option pricing problem under different market conditions.

关 键 词： 期权定价 不确定性市场 欧式期权 实物期权

领　　域： [经济管理]