无分红股票期权的构造定价模型  

Structure models for options pricing on non-dividend-paying stocks

作　　者：戴锋[1] 丁锐[1] 秦子夫[1] 

机构地区：[1]解放军信息工程大学,郑州450002

出　　处：《管理科学学报》2005年第5期55-60,共6页Journal of Management Sciences in China

摘　　要：利用偏尾分布与偏尾过程,首次提出了期权执行价格的DF构造,并在此基础上给出了股票无红利分配条件下期权定价的构造性解析模型———DF构造定价模型.该模型方法能够解决任意时刻提出执行的看涨或看跌期权定价问题,所以它既适用美式期权定价,也适用于欧式期权定价.最后,通过与Black-Scholes期权定价公式的对比实证分析,结果表明文章的结论是可靠的.Based on the Partial Distribution and the Partial Process, this paper presents the DF structure of strike price of option for the first time, and gives the DF structure pricing models, the constructive analytic models for options pricing on a non-dividend-paying stock. The models can be used in the pricing of both call options and the put options exercised at any time before the expiration. Hence, they are applicable to the pricing the American call and put option the European call and put options. The final empirical analysis of comparing with the Black-Scholes＇ formula gives the dependability of the options pricing formulas presented in this paper.

关 键 词：DF(Dai Fens)构造 无红利分配 期权定价 解析公式 

分 类 号：F224[经济管理—国民经济]