2个数学模型下的铜期权定价比较  

Comparason of Copper Options Based on Two Mathematical Models

作　　者：王晚生 莫英 邓丹丹 郭永红 WANG Wansheng;MO Ying;DENG Dandan;GUO Yonghong(School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410114, China;School of Mathematics and Physics, Shanghai Normal University, Shanghai 200234, China)

机构地区：[1]长沙理工大学数学与统计学院,湖南长沙410114 [2]上海师范大学数理学院,上海200234

出　　处：《吉首大学学报（自然科学版）》2020年第3期58-61,共4页Journal of Jishou University(Natural Sciences Edition)

摘　　要：将估计的参数代入Black-Scholes模型和Merton跳-扩散模型,计算铜期权的认购期权合约在到期日之前的理论价格.对比2个模型的铜期权理论价格与实际期权价格发现,Merton跳-扩散模型的定价效果比Black-Scholes模型的更优,且在定价过程中Merton跳-扩散模型更稳定.The estimated parameters were substituted into the black-scholes model and the Merton jump-diffusion model to calculate the theoretical price of the call option contract of the copper option before the expiration date.By comparing the theoretical price of copper options in the two models with the actual option price,it is found that the Merton jump-diffusion model is more stable than the black-scholes model in the pricing process.

关 键 词：BLACK-SCHOLES模型 Merton跳-扩散模型 铜期权 期权价格 

分 类 号：F830.91[经济管理—金融学] F224.0