山西师范大学学报：自然科学版
山西師範大學學報：自然科學版
산서사범대학학보：자연과학판
Journal of Shanxi Teachers University
2012年
1期
31-35
,共5页
红利%跳扩散%Possion过程%期权定价
紅利%跳擴散%Possion過程%期權定價
홍리%도확산%Possion과정%기권정개
dividend%jump-diffusion process%Possion process%option pricing
Black-Schole期权定价模型成功解决了有效市场下欧式期权定价问题,但是研究者必须考虑现实金融市场中所面临的问题.本文在股票支付连续红利率ρ（t）、波动率σ（t）、无风险利率r（t）的情况下,建立支付连续红利率服从跳过程的期权定价模型,并利用鞅论和随机分析的方法给出了组合期权的定价公式.
Black-Schole期權定價模型成功解決瞭有效市場下歐式期權定價問題,但是研究者必鬚攷慮現實金融市場中所麵臨的問題.本文在股票支付連續紅利率ρ（t）、波動率σ（t）、無風險利率r（t）的情況下,建立支付連續紅利率服從跳過程的期權定價模型,併利用鞅論和隨機分析的方法給齣瞭組閤期權的定價公式.
Black-Schole기권정개모형성공해결료유효시장하구식기권정개문제,단시연구자필수고필현실금융시장중소면림적문제.본문재고표지부련속홍리솔ρ（t）、파동솔σ（t）、무풍험리솔r（t）적정황하,건립지부련속홍리솔복종도과정적기권정개모형,병이용앙론화수궤분석적방법급출료조합기권적정개공식.
Black-Schole modle has solve the problem of Euro-option in efficient market successfully.But the investors have to face considerable and irrneglectable costsin real financial market.The option pricing problem has attracted much attention of researches and with the development of option and option theories.The writer of this paper makes a study of the pricing problem of European commodity option under the assumptions that the divident ρ（t）,the volatility σ（t）,risk-free rate r（t）.Thus,the pricing formula for the European Call-put option and their call-put parity are obtained.
