Black-Scholes期权定价模型及其替代方案的比较

Dhaka University Journal of Science Pub Date : 2019-07-30 DOI:10.3329/dujs.v67i2.54581

A. Hossain, Maliha Tasmiah Noushin, Kamrul Hasan

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摘要

本文利用已建立的期权定价模型，即弹性参数β< 2的恒弹性方差(CEV)模型，对欧洲看跌期权的价格进行了估计，并与基准的Black-Scholes (BS)模型进行了比较。我们计算了β=0、1和1.95时CEV模型下的希腊人，并与B-S模型进行了比较。最后，我们研究了现价(ATM)、现价(ITM)和现价(OTM)情况下的看跌价格和希腊价值。达卡大学学报(自然科学版)，67(2):105-110,2019 (7)

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A Comparison of the Black-Scholes Option Pricing Model and Its Alternatives

In this paper we estimate European put option price by using awell-established option pricing model, namely, the Constant Elasticity of Variance (CEV) model for the elasticity parameter β< 2 and then compare it with the benchmark Black-Scholes (BS) model. We calculate the Greeks under the CEV model for β=0,1 and 1.95 and compare them with that of the B-S one. Finally, we investigate the put price and Greeks values for at-the-money (ATM), in-the-money (ITM) and out-of-the-money (OTM) situations. Dhaka Univ. J. Sci. 67(2): 105-110, 2019 (July)

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Dhaka University Journal of Science

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