B-S-二叉树期权定价模型在有色金属股票期权定价中的应用  

Application of B-S-binary tree option pricing model to pricing non-ferrous stock

作　　者：刘立刚[1,2] 吴思倩 周春 LIU Ligang;WU Siqian;ZHOU Chun(Soft Scientific Research Base for Regional Economic Cooperation,Jiangxi University of Science and Technology,Ganzhou 341000,China;School of Economics and Management,Jiangxi University of Science and Technology,Ganzhou 341000,China;Masteel(Group)Holdings Limited,Maanshan 243003,China)

机构地区：[1]江西理工大学,赣粤闽湘边界区域经济合作软科学研究基地,江西赣州341000 [2]江西理工大学经济管理学院,江西赣州341000 [3]马钢(集团)控股有限公司,安徽马鞍山243003

出　　处：《有色金属科学与工程》2018年第2期89-95,共7页Nonferrous Metals Science and Engineering

基　　金：国家社科基金资助项目(14XJL008);江西省社会科学规划项目(12YJ07);赣州市社会科学研究课题(17021)

摘　　要：随着我国期货市场的不断繁荣,为了规避由于股票价格波动过大导致的风险,研究中以章源钨业为例,运用改进后的B-S—二叉树期权定价模型对有色金属股票期权定价问题进行分析,研究结果表明:通过评估可以得到期权初始合理价格、各个阶段上的节点价值以及期权处理方式.因此B-S—二叉树期权定价模型可用于评估股票价值,加强管理人员对股票期权执行风险的控制,确定是否应该继续持有还是提前执行约定的执行价格.With the continuous prosperity of China's futures market,To avoid the risk caused by the excessive fluctuation of stock price,the study takes Zhang yuan Tungsten as an example,we use the improved B-S two tree option pricing model to analyze the problem of non-ferrous metal stock option pricing.The results show that the initial reasonable price of the option,the value of the node in each stage and the option treatment can be obtained through the evaluation.Therefore,B-S-binary tree option pricing model can be used to evaluate stock value,strengthen executive personnel's control over executive risk of stock options,decide whether to continue holding or advance the agreed execution price.

关 键 词：B-S-二叉树期权定价模型 股票期权定价 看涨期权 有色金属 

分 类 号：TD-9[矿业工程] F230.91[经济管理—会计学]