Research On The Black-Scholes Stock Put Option Model Based On Dynamic Investment Strategy

摘要：

Based on the Black-Scholes option pricing theory , this paper considers the investors behavior of keeping away risk and the Investment strategy of reducing the lost when building the put option model. The investors can reduce risk through selling stocks while the stock price droping .Using the case, it is shows that in order to keep away the same risk, the price of the option based on the investment strategy pricing model is lower than the put option based on the standard Black-Scholes put option pricing model.

关键词： Put option pricing Option Stock

作者: Wang Xue-feng Wang Lin Zhai Ai-mei

作者单位: School of Management Harbin Institute of Technology Harbin, China School of Business Sun Yat-sen University Guangzhou, China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）