第9讲：股票期权定价 B-S模型.pdf

1 第9讲：股票期权定价: B-S模型Valuing Stock Options: The Black-Scholes Model Outline • 有关股价的假设 • The B-S Model • 隐性波动性Implied Volatility • 红利与期权定价Dividends and Option Pricing • 美式期权定价American Option Prices The Lecture 8: B-S-M Model 2 Black-Scholes 期权定价理论 • The two papers by B-S (The pricing of options and corporate liabilities, JPE, 1973) and Merton (The theory of rational option pricing, BEMS, 1973) provide the first analytical framework for option price and option hedging. Option pricing techniques are often considered among the most mathematically complex of all applied areas of finance. • Scholes and Merton were awarded Nobel prize for economics in 1997. The Lecture 8: B-S-M Model 3 Black-Scholes 随机漫步假设 • The basic assumption under B-S model is that stock prices follow random walk. A Markov stochastic process （马尔科夫过程）is a description of random walk. • B-S模型的基本假设是股票价格服从随机游走。马 尔科夫过程是对随机游走的一种描述。 • Consider a stock whose price is S • In a short time of length dt, the change in the stock dS price S is normal with mean mdt and standard deviation s dt  mis the expected return and sis volatility per annum The Lecture 8: B-S-M Model 4 Random Walk随机漫步 • A random walk is defined as the one in which future steps or directions cannot be predicted on the basis of past actions – Burton Malkiel “A Random Walk Down Wall Streets” （漫步华尔街 ） 随机游走表示未来的路径和方向不能通过过去 的行动进行预测。 • In financial markets, short run changes in stock prices cannot be predicted. The Le