浅析期权定价理论及其组合投资策略  

Option Pricing Theory and Its Portfolio Investment Strategy

作　　者：杨琳 

机构地区：[1]青海交通职业技术学院,西宁810003

出　　处：《价值工程》2014年第13期182-183,共2页Value Engineering

摘　　要：本文从期权的发展历史开始追溯,简述了期权在发展过程中的变化趋势,对期权定价理论Black-Scholes模型的意义及缺陷做了深入分析,最后介绍了标的资产与期权组合,总结了它们的特点和盈亏图,为金融衍生产品的期权投资组合策略发展提供一些借鉴。Tracing from the development history of options, this article briefly describes the change trend in the development process of options, analyzes the meaning and defect of Black-Scholes model in option pricing theory, finally introduces the underlying assets and options portfolio, and summarizes their characteristics and profit and loss figure, to provide some reference for the options portfolio strategy development of financial derivatives.

关 键 词：期权定价 BLACK-SCHOLES模型 组合策略 

分 类 号：F830.59[经济管理—金融学]