不完全市场下的期权定价理论综述  

A Review of Option Pricing Theory under the Situations of Imperfect Market

作　　者：许朝君 程林[2] 

机构地区：[1]合隆集团,河源517000 [2]深圳大学,深圳518060

出　　处：《价值工程》2015年第5期14-17,共4页Value Engineering

摘　　要：由于B-S定价公式是在完全市场条件假设下推导出来的,这与现实存在很大的出路,因此后来的学者就针对市场条件状况,研究了不同市场条件下的期权定价,其中以不完全市场条件下的期权定价为主,这显然与事实更加吻合。不完全市场主要可以分为带交易费用的期权市场、存有违约风险的期权市场以及信息不完全的期权市场。文章在此基础上,分析总结了在这个市场假设条件下的研究现状,并给出了未来值得深入研究的方向:主要是进一步放松B-S定价模型的假设条件,引入更多的现实因素,深入研究不同市场状况下的期权定价问题。Because B-S option pricing formula was derived under the assumption of complete market condition, which was inconsistent with the reality, according to market condition, the later scholars studied the option pricing under different market conditions, including imperfect market, which was obviously more consistent with fact. Imperfect market mainly was divided into option market of transaction cost, options market of default risks, and incomplete information market. Based on that, this paper summarized the research status under this market hypothesis, and gave the further research direction, mainly, further easing the assumptions of B-S pricing model, introducing more realistic factors, studying the option pricing problem under different market conditions in depth.

关 键 词：期权定价 不完全市场 交易费用 违约风险 

分 类 号：F830.59[经济管理—金融学]