The Deviation Of The Black-Scholes Option Pricing Model And Several Revision Model

Option pricing theory is always one of the kernel problems on financial mathematics. Together with the portfolio selection theory,the capital asset pricing theory, the effectiveness theory of market and acting issue, it is regarded as one of the five theory modules in modern finance. At the beginning of seventy years, Fischer Black and Myron Scholes have made the unprecedented work in the domain of the option pricing theory, they Proposed the first complete option pricing model, which named the Black-Scholes pricing formula, widely accepted by the theory and the industrial world with the application, becomes the secondary Great Revolution in a financial domain. However, in the reality financial market, their idealized condition has the limitation. A mass of finance practice has indicated that there is a serious warps between the hypothesis of Black-Scholes model about the underlying asset price and the realistic markets.Therefore,many scholars put forward many new kinds of option pricing models by relaxing some assuming conditions of Black-Scholes model. The option pricing theory gradually is also mature.This article research mentality is the European option price key aspect is the final stock price distribution. So far our continuously relization is it is logormal distribution. But in reality, the stock price possibly deviates the logormal distribution, terefore we have some kind of deviation when we using the Black-Scholes option pricing formula,we gived the deviation classification which produces, and proposed some revision model, further pointed out these models causing the deviation.This dissertation mainly devotes in the pricing deviation research in the actual market using the Black-Scholes option pricing formula, the utilization leather strap around the neck of a cart-horse theory, mathematical instruments and so on stochastic analysis infer under several kind of revision model definition the European stock option pricing formul and pointed out they cause fixed price deviation.In detail we have made main conclusions as follows: (1) Introduce the option elementary knowledge briefly, the option pricing theory development history as well as the influence option price factor.(2) Give the definition of the option pricing deviation and had pointed out utilizes several kind of deviations in the actual market which the Black-Scholes option pricing formula produces, finally explained the undulation rate smile theory.(3) Study several kind of revision models, including the stochastic undulation rate model, the compound option model, the shift proliferation model, the undulation rate elasticity for the constant model, jumps purely the model, the caper proliferation model, and has relaxed the Black-Scholes option pricing model certain supposition condition, and has given under these models the European stock option pricing formula.(4) Give the real diagnosis examination, using the Bellalah-Jacquillat model understood why Biack-Scholes model the theory price has the system deviation, why regarding the same minimum acceptable bid property, carries out the price from one to carry out the price to another to be able to have the different concealment undulation rate.