一般均衡欧式期权定价模型  

A General Equilibrium Model of European Option Pricing

作　　者：朱微亮[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《系统管理学报》2008年第5期525-530,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70471025)

摘　　要：建立既包含企业生产,又包含投资者消费的一般均衡资产定价方程,得到经济系统中的随机折现因子以及股票收益率所服从的动态方程。在此基础上,采用二阶近似方法对欧式期权进行定价。结果表明,欧式期权价格与企业的经营能力、所处的行业特征密切相关,推广了Black&Sholes的期权定价公式。The article studies option prices from the viewpoints of performance and industrial character for who have a close relation to stock prices and enterprise.Through constructing a general equilibrium pricing model,we look for the stochastic discount factor and price the European option by second order approximation.The results extend the application fields of B-S formula by showing that European option prices have a close relation to enterprise investments and industry enterprises stand,and the call option prices are decreasing function of risk-free interest rate and increasing function of performance or industrial development.

关 键 词：经营能力 行业特征 二阶近似 一般均衡 欧式期权价格 

分 类 号：F830.91[经济管理—金融学]