| Black-Scholes期权定价的风险(英文) |
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| 引用本文： | 徐耸.Black-Scholes期权定价的风险(英文)[J].应用概率统计,2010,26(6):662-672. |
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| 作者姓名： | 徐耸 |
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| 作者单位： | 华东师范大学金融与统计学院,淮南师范学院数学与计算科学系 |
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| 基金项目： | Key Programs for Natural Science Foundation of Anhui Province，Natural Science Foundation in Anhui Universities，Quality of teaching and educational reform construction project in Huainan Normal University |
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| 摘 要： | Black-Scholes期权定价的推导假定对冲是连续的以达到无风险. 但事实上, 股市收市后将不再有交易, 所以投资者不能连续的调整其投资组合, 故期权定价的风险是存在的. 本文讨论了这种不连续对冲带来的期权定价的风险, 并以美国股市的几种指标股为例, 给出其比率. 比率多在5%以上, 有的可以达到38%, 可见传统期权定价的风险不容小觑.
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| 关 键 词： | Black-Scholes模型 对冲 风险 期权定价 |
The Risk of Black-Scholes Option Pricing |
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| XU SONG.The Risk of Black-Scholes Option Pricing[J].Chinese Journal of Applied Probability and Statisties,2010,26(6):662-672. |
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| Authors: | XU SONG |
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| Institution: | East China Normal University,Huainan Normal University |
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| Abstract: | The Black-Scholes option pricing formula is derived with the assumption that the hedging is continuous. In practice, there is no trading when the stock market is closed. So the adjustment of portfolios is discontinuous, and the risk of option pricing exists. We consider the risk of option pricing caused by this kind of discontinuous hedging, and give the ratio of risk of several options in American stock market. We can see that the ratio is mostly exceed 5% and the risk of traditional pricing method of option can't be ignored. |
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| Keywords: | Black-Scholes model hedging risk option pricing |
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