| 基于涨跌幅限制的双边截断正态分布期权定价模型 |
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| 引用本文： | 邓学斌,陈华.基于涨跌幅限制的双边截断正态分布期权定价模型[J].数学的实践与认识,2011,41(21). |
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| 作者姓名： | 邓学斌 陈华 |
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| 作者单位： | 1. 广东商学院金融学院,广东广州,510320
2. 对外经济贸易大学保险学院,北京,100029 |
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| 基金项目： | 国家自然科学基金(71073031); 广东商学院校级课题(09YB79002) |
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| 摘 要： | 标准Black Scholes期权定价公式假设股票价格服从对数正态分布,没有考虑股票价格涨跌幅的限制带来的影响.放松该假设条件,假设股票价格服从双边截断对数正态分布,考虑中国股票市场的涨跌幅限制,得到一个新的B-S期权定价公式来表达股价行为.双边截断正态分布假设下收益率的波动率要要比正态分布下的波动率小,所以新B-S公式计算出的期权价格就会比标准B-S公式计算出的价格低.
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| 关 键 词： | 期权定价 双边截断正态分布模型 涨跌幅限制 |
Doubly Truncated Log-Normal Distributions are Used in the Pricing of Options |
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| DENG Xue-bin,CHEN Hua.Doubly Truncated Log-Normal Distributions are Used in the Pricing of Options[J].Mathematics in Practice and Theory,2011,41(21). |
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| Authors: | DENG Xue-bin CHEN Hua |
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| Institution: | DENG Xue-bin~1,CHEN Hua~2 (1.Finance Department,Guangdong University of Business,Guangzhou 510320,China) (2.School of Insurance and Economics,University of International Business and Economics,Beijing 100029,China) |
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| Abstract: | Standard Black-Scholes option pricing model suppose the stock prices follow the log-normal distribution,without consider the effect of price limits.In this paper,relax the conditions,suppose the stock prices follow doubly truncated log-normal distribution in China's stock market,we obtain a new Black-Scholes' of European option pricing formula,explain the effect of stock price behavioral.Because the volatility of stock return under the doubly truncated log-normal distribution is small than the log-normal di... |
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| Keywords: | option pricing doubly truncated normal distribution price limits |
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