一般均衡欧式期权定价模型.pdfVIP

17 5 系 统 管 理 学 报 V ol. 17 N o. 5 2008 10 J ournal o f System s M anagement O ct . 2008 : 1005- 2542 2008) 05- 0525- 06 朱微亮, 刘海龙 , 200052) 建立既包含企业生产, 又包含投资者消费的一般均 资产定价方程, 得到经济系统中的随机折 现因子以及股票收益率所服从的动态方程在此基础上, 采用二阶近似方法对欧式期权进行定价结果表 明, 欧式期权价格与企业的经营能力所处的行业特征密切相关, 推广了Black Sholes 的期权定价公式 : 经营能力; 行业特征; 二阶近似; 一般均 ; 欧式期权价格 : F 830. 91 : A A General Equilibrium Model of European Option Pricing ZH U Wei-l iang , L I UH ai-long A nt ai Coll eg e of Eco no mics Manag em ent , Shanghai Jiaot ong U niv ersit y, Shanghai 200052, China) AbstractT he art icle studies o pt ion prices f rom t he view point s of perf ormance and indu st rial charact er fo r w ho have a close relat ion t o st ock pr ices and ent er prise. T hrough constructing a general equilibrium pr icing model , w e loo k f or t he st ochast ic discount f act or and price t he Euro pean opt io n by second or der approx ima- t ion . T he r esult s ext end t he applicat ion fields of B- S fo rmula by show ing t hat European option prices have a clo se relat ion t o ent erprise invest ments and indu st ry ent erprises st and , and t he call opt ion prices are de- creasing f unction of risk-fr ee int er est rat e and increasing f unct ion of per for mance or indu st rial develop- m ent . Key words: perf ormance; indust rial charact erist ics ; seco nd or der appr oxim at ion ; general equilibrium; european o pt ion price Black Scho les B- S) ct = Et ( M t, T max( S T - X , 0) ) [ 1] , : M t, T T t , ; S T T