求助关于期权权利金价格计算方法

0o零o0

2018-04-21

$阿里巴巴(BABA)$ $亚马逊(AMZN)$ $波音(BA)$ $搜狗(SOGO)$ $特斯拉(TSLA)$ $京东(JD)$ $爱奇艺(IQ)$ $柯达(KODK)$

想求助两位期权大神@巫天华 @何梓溪，由于不知道如何向找大神求解问题，只好群艾特了，可能骚扰到了各位虎友，非常抱歉…

我之前使用了二叉树推倒出个股权利金理论价格了，末日期权倒还好误差还可以接受，但是不知道为什么末日以后的理论期权价格误差非常大，不知道大神是如何计算理论价格的？不知道是用二叉树还是用最小二乘蒙特卡洛模拟法或者有限差分法计算更加接近实际价格？

上图自写软件截图用的是二叉树计算的

免责声明：上述内容仅代表发帖人个人观点，不构成本平台的任何投资建议。

精彩评论

午夜上校
2018-04-21
午夜上校
很少人认真算期权的理论价格，这里差不多你算第一个。因为交易量不活跃，或价格剪刀差大。IB可查期权大致估价
- 0o零o0:
  还要登录IB太麻烦了，我只是想完善我的期权分析系统中的功能
午夜上校
2018-04-21
午夜上校
理论价格公式和具体实现算法应该不会关联太多。
- 午夜上校回复0o零o0:
  是的，理论价格的确重要，可以算出来值多少钱
- 午夜上校回复0o零o0:
  挂单埋伏这个可以有，主要是交易不活跃剪刀差大，这点理论价格偏差相对而言就是小巫见大巫。
- 0o零o0:
  根据我的研究证实理论价格非常重要，可以以最合适的价格提前挂单埋伏
Tony特别帅
2018-04-21
Tony特别帅
你这太高端了。。
- 0o零o0:
  还好吧，计算理论价格只是其中一项功能😗
哑哈哈
2018-04-22
哑哈哈
好高级，我只知道 premium = time value + intrinsic value. 末日期权 time value 归零，如果期权 in the money 那对于 call 的 premium 是不是直接等于 strike price - cmv 了？
遇龙
2018-04-25
遇龙
根本不用那么麻烦……，直接平价期权找出来，然后倒推一下，基本就是扫几下，心里大概就有数了，你是做dt的？
0o零o0
2018-04-24
0o零o0
得不到大神指导，难道又得自个琢磨了吗😩

发表看法

{"i18n":{"language":"zh_CN"},"detailType":1,"isChannel":false,"data":{"magic":2,"id":180090,"tweetId":"180090","gmtCreate":1524273496275,"gmtModify":1704891912747,"author":{"id":260314120669985,"idStr":"260314120669985","authorId":260314120669985,"authorIdStr":"260314120669985","name":"0o零o0","avatar":"https://static.laohu8.com/7205f672f9279cf529e8b0511d834d69","vip":2,"userType":2,"introduction":"来自二次元的技术宅","boolIsFan":false,"boolIsHead":false,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":395,"starInvestorFlag":false},"themes":[],"images":[{"img":"https://static.laohu8.com/33b3cc9f272fff431accf00552a0e2e3"}],"coverImages":[{"img":"https://static.laohu8.com/33b3cc9f272fff431accf00552a0e2e3"}],"title":"求助关于期权权利金价格计算方法","extraTitle":"","html":"<html><head></head><body>$阿里巴巴(BABA)$ $亚马逊(AMZN)$ $波音(BA)$ $搜狗(SOGO)$ $特斯拉(TSLA)$ $京东(JD)$ $爱奇艺(IQ)$ $柯达(KODK)$ 想求助两位期权大神@巫天华 @何梓溪，由于不知道如何向找大神求解问题，只好群艾特了，可能骚扰到了各位虎友，非常抱歉… 我之前使用了二叉树推倒出个股权利金理论价格了，末日期权倒还好误差还可以接受，但是不知道为什么末日以后的理论期权价格误差非常大，不知道大神是如何计算理论价格的？不知道是用二叉树还是用最小二乘蒙特卡洛模拟法或者有限差分法计算更加接近实际价格？ <img src=\"https://static.laohu8.com/33b3cc9f272fff431accf00552a0e2e3\"> 上图自写软件截图用的是二叉树计算的 </body></html>","htmlText":"<html><head></head><body>$阿里巴巴(BABA)$ $亚马逊(AMZN)$ $波音(BA)$ $搜狗(SOGO)$ $特斯拉(TSLA)$ $京东(JD)$ $爱奇艺(IQ)$ $柯达(KODK)$ 想求助两位期权大神@巫天华 @何梓溪，由于不知道如何向找大神求解问题，只好群艾特了，可能骚扰到了各位虎友，非常抱歉… 我之前使用了二叉树推倒出个股权利金理论价格了，末日期权倒还好误差还可以接受，但是不知道为什么末日以后的理论期权价格误差非常大，不知道大神是如何计算理论价格的？不知道是用二叉树还是用最小二乘蒙特卡洛模拟法或者有限差分法计算更加接近实际价格？ <img src=\"https://static.laohu8.com/33b3cc9f272fff431accf00552a0e2e3\"> 上图自写软件截图用的是二叉树计算的 </body></html>","text":"$阿里巴巴(BABA)$ $亚马逊(AMZN)$ $波音(BA)$ $搜狗(SOGO)$ $特斯拉(TSLA)$ $京东(JD)$ $爱奇艺(IQ)$ $柯达(KODK)$ 想求助两位期权大神@巫天华 @何梓溪，由于不知道如何向找大神求解问题，只好群艾特了，可能骚扰到了各位虎友，非常抱歉… 我之前使用了二叉树推倒出个股权利金理论价格了，末日期权倒还好误差还可以接受，但是不知道为什么末日以后的理论期权价格误差非常大，不知道大神是如何计算理论价格的？不知道是用二叉树还是用最小二乘蒙特卡洛模拟法或者有限差分法计算更加接近实际价格？ 上图自写软件截图用的是二叉树计算的","highlighted":2,"essential":1,"paper":2,"likeSize":1,"commentSize":16,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/180090","repostId":0,"isVote":1,"tweetType":1,"viewCount":12202,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":["AMZN","BABA","TSLA","SOGO","IQ","KODK","JD","BA"],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":474,"xxTargetLangEnum":"ZH_CN"},"commentList":[{"id":727081,"commentId":"727081","gmtCreate":1524312987511,"gmtModify":1524312987511,"authorId":100500569819832,"author":{"id":100500569819832,"idStr":"100500569819832","authorId":100500569819832,"name":"午夜上校","avatar":"https://static.laohu8.com/c29c49f2f1593c12d4f69f153b89d86c","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"很少人认真算期权的理论价格，这里差不多你算第一个。因为交易量不活跃，或价格剪刀差大。IB可查期权大致估价","text":"很少人认真算期权的理论价格，这里差不多你算第一个。因为交易量不活跃，或价格剪刀差大。IB可查期权大致估价","html":"很少人认真算期权的理论价格，这里差不多你算第一个。因为交易量不活跃，或价格剪刀差大。IB可查期权大致估价","likeSize":0,"commentSize":1,"subComments":[{"id":727119,"commentId":"727119","gmtCreate":1524319362392,"gmtModify":1524319362392,"authorId":260314120669985,"author":{"id":260314120669985,"idStr":"260314120669985","authorId":260314120669985,"name":"0o零o0","avatar":"https://static.laohu8.com/7205f672f9279cf529e8b0511d834d69","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":727081,"supIdStr":"727081","prevId":0,"prevIdStr":"0","content":"还要登录IB太麻烦了，我只是想完善我的期权分析系统中的功能","text":"还要登录IB太麻烦了，我只是想完善我的期权分析系统中的功能","html":"还要登录IB太麻烦了，我只是想完善我的期权分析系统中的功能"}],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0},{"id":727087,"commentId":"727087","gmtCreate":1524313857180,"gmtModify":1524313857180,"authorId":100500569819832,"author":{"id":100500569819832,"idStr":"100500569819832","authorId":100500569819832,"name":"午夜上校","avatar":"https://static.laohu8.com/c29c49f2f1593c12d4f69f153b89d86c","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"理论价格公式和具体实现算法应该不会关联太多。","text":"理论价格公式和具体实现算法应该不会关联太多。","html":"理论价格公式和具体实现算法应该不会关联太多。","likeSize":0,"commentSize":3,"subComments":[{"id":727134,"commentId":"727134","gmtCreate":1524321135176,"gmtModify":1524321135176,"authorId":100500569819832,"author":{"id":100500569819832,"idStr":"100500569819832","authorId":100500569819832,"name":"午夜上校","avatar":"https://static.laohu8.com/c29c49f2f1593c12d4f69f153b89d86c","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":260314120669985,"repliedAuthor":{"id":260314120669985,"idStr":"260314120669985","authorId":260314120669985,"name":"0o零o0","avatar":"https://static.laohu8.com/7205f672f9279cf529e8b0511d834d69","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"objectId":180090,"objectIdStr":"180090","type":1,"supId":727087,"supIdStr":"727087","prevId":727120,"prevIdStr":"727120","content":"是的，理论价格的确重要，可以算出来值多少钱","text":"是的，理论价格的确重要，可以算出来值多少钱","html":"是的，理论价格的确重要，可以算出来值多少钱"},{"id":727133,"commentId":"727133","gmtCreate":1524320967619,"gmtModify":1524320967619,"authorId":100500569819832,"author":{"id":100500569819832,"idStr":"100500569819832","authorId":100500569819832,"name":"午夜上校","avatar":"https://static.laohu8.com/c29c49f2f1593c12d4f69f153b89d86c","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":260314120669985,"repliedAuthor":{"id":260314120669985,"idStr":"260314120669985","authorId":260314120669985,"name":"0o零o0","avatar":"https://static.laohu8.com/7205f672f9279cf529e8b0511d834d69","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"objectId":180090,"objectIdStr":"180090","type":1,"supId":727087,"supIdStr":"727087","prevId":727120,"prevIdStr":"727120","content":"挂单埋伏这个可以有，主要是交易不活跃剪刀差大，这点理论价格偏差相对而言就是小巫见大巫。","text":"挂单埋伏这个可以有，主要是交易不活跃剪刀差大，这点理论价格偏差相对而言就是小巫见大巫。","html":"挂单埋伏这个可以有，主要是交易不活跃剪刀差大，这点理论价格偏差相对而言就是小巫见大巫。"},{"id":727120,"commentId":"727120","gmtCreate":1524319500846,"gmtModify":1524319500846,"authorId":260314120669985,"author":{"id":260314120669985,"idStr":"260314120669985","authorId":260314120669985,"name":"0o零o0","avatar":"https://static.laohu8.com/7205f672f9279cf529e8b0511d834d69","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":727087,"supIdStr":"727087","prevId":0,"prevIdStr":"0","content":"根据我的研究证实理论价格非常重要，可以以最合适的价格提前挂单埋伏","text":"根据我的研究证实理论价格非常重要，可以以最合适的价格提前挂单埋伏","html":"根据我的研究证实理论价格非常重要，可以以最合适的价格提前挂单埋伏"}],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0},{"id":727070,"commentId":"727070","gmtCreate":1524308894710,"gmtModify":1524308894710,"authorId":20727972514030,"author":{"id":20727972514030,"idStr":"20727972514030","authorId":20727972514030,"name":"Tony特别帅","avatar":"https://static.tigerbbs.com/61f671464b0bc8103579e8d0e2197c48","vip":1,"hat":"https://static.tigerbbs.com/048415ce28efe522291a14d3d3db53be","crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"你这太高端了。。","text":"你这太高端了。。","html":"你这太高端了。。","likeSize":0,"commentSize":1,"subComments":[{"id":727108,"commentId":"727108","gmtCreate":1524316887475,"gmtModify":1524316887475,"authorId":260314120669985,"author":{"id":260314120669985,"idStr":"260314120669985","authorId":260314120669985,"name":"0o零o0","avatar":"https://static.laohu8.com/7205f672f9279cf529e8b0511d834d69","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":727070,"supIdStr":"727070","prevId":0,"prevIdStr":"0","content":"还好吧，计算理论价格只是其中一项功能😗","text":"还好吧，计算理论价格只是其中一项功能😗","html":"还好吧，计算理论价格只是其中一项功能😗"}],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0},{"id":727311,"commentId":"727311","gmtCreate":1524378019410,"gmtModify":1524378019410,"authorId":10380832063128,"author":{"id":10380832063128,"idStr":"10380832063128","authorId":10380832063128,"name":"哑哈哈","avatar":"https://static.tigerbbs.com/1f15842ff08b0f04daefa960d0264a5f","vip":1,"currentWearingBadge":{"badgeId":"35ec162348d5460f88c959321e554969-2","templateUuid":"35ec162348d5460f88c959321e554969","name":"宗师交易员","description":"证券或期货账户累计交易次数达到100次","bigImgUrl":"https://static.tigerbbs.com/ad22cfbe2d05aa393b18e9226e4b0307","smallImgUrl":"https://static.tigerbbs.com/36702e6ff3ffe46acafee66cc85273ca","grayImgUrl":"https://static.tigerbbs.com/d52eb88fa385cf5abe2616ed63781765","redirectLinkEnabled":0,"hasAllocated":1,"isWearing":1,"stampPosition":0,"hasStamp":0,"allocationCount":1,"allocatedDate":"2021.12.21","exceedPercentage":"80.16%","individualDisplayEnabled":0,"individualDisplaySort":0,"categoryType":1100},"hat":"https://static.tigerbbs.com/646756f1284a5a6480ed02cc4fa7d1d2","crmLevel":7,"crmLevelSwitch":1,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"好高级，我只知道 premium = time value + intrinsic value. 末日期权 time value 归零，如果期权 in the money 那对于 call 的 premium 是不是直接等于 strike price - cmv 了？","text":"好高级，我只知道 premium = time value + intrinsic value. 末日期权 time value 归零，如果期权 in the money 那对于 call 的 premium 是不是直接等于 strike price - cmv 了？","html":"好高级，我只知道 premium = time value + intrinsic value. 末日期权 time value 归零，如果期权 in the money 那对于 call 的 premium 是不是直接等于 strike price - cmv 了？","likeSize":0,"commentSize":0,"subComments":[],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0},{"id":730645,"commentId":"730645","gmtCreate":1524656130893,"gmtModify":1524656130893,"authorId":3447104606067366,"author":{"id":3447104606067366,"idStr":"3447104606067366","authorId":3447104606067366,"name":"遇龙","avatar":"https://static.tigerbbs.com/dfa59cdea305b1b630961ff9719ef31c","vip":1,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"根本不用那么麻烦……，直接平价期权找出来，然后倒推一下，基本就是扫几下，心里大概就有数了，你是做dt的？","text":"根本不用那么麻烦……，直接平价期权找出来，然后倒推一下，基本就是扫几下，心里大概就有数了，你是做dt的？","html":"根本不用那么麻烦……，直接平价期权找出来，然后倒推一下，基本就是扫几下，心里大概就有数了，你是做dt的？","likeSize":1,"commentSize":0,"subComments":[],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0},{"id":728916,"commentId":"728916","gmtCreate":1524563434028,"gmtModify":1524563434028,"authorId":260314120669985,"author":{"id":260314120669985,"idStr":"260314120669985","authorId":260314120669985,"name":"0o零o0","avatar":"https://static.laohu8.com/7205f672f9279cf529e8b0511d834d69","vip":2,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":180090,"objectIdStr":"180090","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"得不到大神指导，难道又得自个琢磨了吗😩","text":"得不到大神指导，难道又得自个琢磨了吗😩","html":"得不到大神指导，难道又得自个琢磨了吗😩","likeSize":1,"commentSize":0,"subComments":[],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0}],"isCommentEnd":false,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/180090"}