| Evaluation of call options |
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| 作者姓名： | 陈道平 |
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| 作者单位： | DepartmentofMathematicsandComputer,ChongqingNormalUniversity,Chongqing400047,P.R.China |
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| 摘 要： | The European and American call options,for which the prices of their underlying asset follow compound Poisson process,are evaluated by a probability method.Formulas that can be used to evaluate the options are obtained,which include not only the elements of an option:the price of the call option,the exercise price and the expiration date,but also the riskless interest rate,nevertheless exclude the volatility of the underlying asset.In practice,the evaluated results obtained by these formulas can proved references of making strategic decision for an investor who buys the call option and a company who sells the call option.
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| 关 键 词： | 股票市场 购买选择权 预购股票价格 优先资产 复合泊松过程 |
Evaluation of call options |
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| CHEN Daoping.Evaluation of call options[J].Journal of Chongqing University,2002,1(2):89-92. |
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| Authors: | CHEN Daoping |
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| Institution: | CHEN Daoping Department of Mathematics and Computer,Chongqing Normal University,Chongqing 400047,P. R. China |
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| Abstract: | The European and American call options, for which the prices of their underlying asset follow compound Poisson process, are evaluated by a probability method. Formulas that can be used to evaluate the options are obtained, which include not only the elements of an option: the price of the call option, the exercise price and the expiration date, but also the riskless interest rate, nevertheless exclude the volatility of the underlying asset. In practice, the evaluated results obtained by these formulas can provide references of making strategic decision for an investor who buys the call option and a company who sells the call option. |
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| Keywords: | call option exercise price underlying asset compound Poisson process potential no loss probability |
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