中国权证市场理论价格与实际价格差异分析  

Analysis on the discrepancy between the theoretical and actual prices on Chinese option market

作　　者：刘琦[1] 

机构地区：[1]武汉大学经济与管理学院,武汉430072

出　　处：《中国经济评论（1536-9056）》2008年第2期10-15,共6页Zhongguo Jingji Pinglu

摘　　要：中国权证市场近年得到了快速发展，但仍存在诸多问题，如何进行合理的价值评估就是其中一个方面。Black—Scholes期权定价公式作为期权定价的经典方法，其有效性在发达国家已得到验证。本文通过比较中国权证市场上交易品种的理论价格和实际价格的差异，并分析相关的影响因素，来为中国权证市场的追一步完善提出自己的建议。With the fast development of the option market in China, many problems remain, one of whichlies in the proper value appraisal. As a canonical method of option pricing, the validity of Black-Scholes formula has been fully justified in developed countries. In this background, by comparing the differences between the theoretical and actual price, and analyzing several influencing factors, we give our suggestions for further improvement in this market.

关 键 词：看涨看跌期权 Black—Scholes期权定价公式 价值差异 

分 类 号：F832.5[经济管理—金融学] F714.1