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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.
The standard Black Scholes option pricing formula assumes that the stock price follows a logarithmic normal distribution and does not take into account the effect of the limit of the stock price change.We relax the hypothesis by assuming that the stock price obeys the bilateral truncated lognormal distribution and considers the Chinese stock A new BS option pricing formula is used to express the stock price behavior. The volatility of the yield under the truncated normal distribution hypothesis is smaller than the volatility under the normal distribution, so the new BS formula calculates The price of the option will be lower than the price calculated by the standard BS formula.