THE PRICING OF OPTIONS ON ASSETS WITH STOCHASTIC VOLATILITIES
THE PRICING OF OPTIONS ON ASSETS WITH STOCHASTIC VOLATILITIES
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DOI：
10.1111/j.1540-6261.1987.tb02568.x
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发表时间：
1987-06-01
影响因子：
8
通讯作者：
WHITE, A
中科院分区：
文献类型：
--
作者：
HULL, J;WHITE, A
迄今为止尚未解决的一个期权定价问题是具有随机波动率的资产的欧式看涨期权的定价。本文探讨了这一问题。在随机波动率与股票价格无关的情况下，期权价格以级数形式确定。数值解也产生的情况下，波动率与股票价格相关。研究发现，Black-Scholes定价经常高估期权，并且高估的程度随着到期时间的增加而增加。
One option‐pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black‐Scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity.