略论期权的价格决定  

A Brief Discussion About The Option Pricing

作　　者：程碧波[1] 

机构地区：[1]中国民航管理干部学院社会科学系,北京100102

出　　处：《经济问题》2009年第10期109-111,共3页On Economic Problems

摘　　要：BS期权定价的前提是认为期权价格由当前股票价格、股票价格分布和到期时间唯一决定。计算了股票和期权的系统风险,认为在既定股票价格及其分布和到期时间的情况下,只有当价格核与股票具有完全相关关系,期权价格才由股票价格、股票价格分布和到期时间唯一决定。在价格核不满足以上条件的情况下,这种唯一关系不能成立。The premise of BS option pricing is that option price is determined by the three factors： current stock price, the stock price distribution and the maturity. This paper calculates the systemic risk of the stock and the option, argues that only if the pricing kernel is entirely relevant with the stock, can the option price be determined by the current stock price, the stock price distribution and the maturity. Otherwise, the option price can＇t be determined by the three factors.

关 键 词：期权定价 价格核 BS模型 系统风险 

分 类 号：F830.91[经济管理—金融学]