股票期权定价模型的实证分析 期权作为一种金融衍生工具，是一种选择权。投资者可以通过购买股票期权进行风险规避或投机获利，期权价格的高低直接影响到买卖双方的盈亏情况，因此期权的定价变得十分重要。股票期权的作用有很多，比如风险管理，可以满足投资者的风险管理需求，提供套期保值和风险对冲的服务，也可以进行多元化交易，满足投资需求，同时股票期权在公司的激励机制中有着举足轻重的地位。为提高股票期权定价的精确性，本文使用2020年银行存款利率作为无风险利率，同时采用GARCH模型预测得到的股票收益率的波动率作为影响股票期权定价模型的波动率，并对B-S模型做出修正。并利用改正后的模型对上汽集团的股票看涨期权、看跌期权的计算，对该模型进行实证分析。 关键词：股票期权；GARCH模型；B-S模型 Empirical analysis of stock option pricing model ABSTRACT Option, as a financial derivative,is a right to choose. Investors can avoid risks or make profits by buying stock options. The price of stock options directly affects the profit and loss of buyers and sellers, so the pricing of stock options becomes very important. There are many functions of stock option, such as risk management, which can meet the risk management needs of investors, provide hedging and risk hedging services, and also conduct diversified transactions to satisfy the investment needs. At the same time, stock option plays an important role in the incentive mechanism of the company. In order to improve the accuracy of stock option pricing, this paper uses the bank deposit interest rate in 2020 as the risk-free interest rate, and uses the volatility of stock return predicted by GARCH model as the volatility that affects the stock option pricing model, so as to modify the Black-Scholes stock option pricing model.This paper uses the modified model to calculate the call option and put option of the simulation stock of SAIC Group, and makes an empirical analysis of the model. Keywords: stock option; GARCH model; B-S model 目 录 一、引言 1 （一）研究背景与研究意义 1 （二）文献综述 2 （三）研究方法与研究思路 2 （四）创新点与不足 2 二、股票期权定价的相关研究理论 3 （一）股票期权理论 3 （二）股票期权定价模型 5 1．B-S股票期权定价模型 6 2．二叉树股票期权定价模型 6 三、模型构建 7 （一）无风险利率的修正 7 （二）价格波动率的修正 8 四、实证分析 9 （一）无风险利率的计算 9 （二）价格波动率的计算 9 （三）B-S股票期权定价模型的应用 10 五、结论和建议 10
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