Ӧ�ø���ͳ�� 2010, 26(6) 662-672 DOI:      ISSN: 1001-4268 CN: 31-1256

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Black-Scholes��Ȩ���۵��Ƶ��ٶ��Գ����������Դﵽ�޷���.
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The Risk of Black-Scholes Option Pricing
Xu Song
East China Normal University,Huainan Normal University  
Abstract:

The Black-Scholes option pricing formula
is derived with the assumption that the hedging is continuous. In
practice, there is no trading when the stock market is closed. So
the adjustment of portfolios is discontinuous, and the risk of
option pricing exists. We consider the risk of option pricing caused
by this kind of discontinuous hedging, and give the ratio of risk of
several options in American stock market. We can see that the ratio
is mostly exceed 5% and the risk of traditional pricing method of
option can't be ignored

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