N(d1) 0.615860834 d2) 0.532873834 看涨期权价格 2.597032043 ∈S*N(-d1)-X*exp(-r*T)米N(d2) 看跌期权价格(利用平权) 1.616768021 ∈C-S+X*exp(-r*T) 看跌期权价格(利用BS公式) 1.616768021 ∈X*exp(-r*T)*N(-d2)-S米N(d1) 表2:期权价格和内在价值的变化 看涨期看涨期权 d2N(d1)N(d2)权价格内在价值 0.06 90 100 1.03|-1.10110.15140.13540.48 0.00 0.5 0.06 91100-0.874-0.94480.1910.17240.660.00 0.10.50.06 100-0.720.79030.23590.21470.87 0.00 0.5 93 100-0.567-0.63740.28550.26191.13 0.00 100-0.415 0.31341.44 0.00 100|-0.266 0.39520.36831.81 0.00 96100-0.118 -810.53210231230.0 0.5 1000.0289-0.04180.51150.48332.71 0.00 0.5 0.06 981000.17390.10320.5690.54113.25 0.96 0.1 0.06 1000.31750.246780.62460.59753.85 1.96 0.5 1001000.45960.388910.67710.65134.502.96 1011000.60030.529630.72590.70185.20 1021000.73970.66960.77030.74825.954.96 0.1 0.5 0.06 1031000.87760.806930.80990.79016.74 0.06 104 1001.01430.943570.84480.82737.57 6.96 0.5 0.06 1051001.14961.078910.87480.85978.437.96 0.1 0.5 0.06 1061001.28371.212960.90040.88749.32 8.963 N(d1) 0.615860834 N(d2) 0.532873834 看涨期权价格 2.597032043 S*N(-d1)-X*exp(-r*T)*N(d2) 看跌期权价格（利用平权） 1.616768021 C-S+X*exp(-r*T) 看跌期权价格（利用 BS 公式） 1.616768021 X*exp(-r*T)*N(-d2)-S*N(d1) 表 2：期权价格和内在价值的变化 T R S X d1 d2 N(d1) N(d2) 看涨期 权价格 看涨期权 内在价值 0.1 0.5 0.06 90 100 -1.03 -1.1011 0.1514 0.1354 0.48 0.00 0.1 0.5 0.06 91 100 -0.874 -0.9448 0.191 0.1724 0.66 0.00 0.1 0.5 0.06 92 100 -0.72 -0.7903 0.2359 0.2147 0.87 0.00 0.1 0.5 0.06 93 100 -0.567 -0.6374 0.2855 0.2619 1.13 0.00 0.1 0.5 0.06 94 100 -0.415 -0.4861 0.3389 0.3134 1.44 0.00 0.1 0.5 0.06 95 100 -0.266 -0.3365 0.3952 0.3683 1.81 0.00 0.1 0.5 0.06 96 100 -0.118 -0.1884 0.4532 0.4253 2.23 0.00 0.1 0.5 0.06 97 100 0.0289 -0.0418 0.5115 0.4833 2.71 0.00 0.1 0.5 0.06 98 100 0.1739 0.1032 0.569 0.5411 3.25 0.96 0.1 0.5 0.06 99 100 0.3175 0.24678 0.6246 0.5975 3.85 1.96 0.1 0.5 0.06 100 100 0.4596 0.38891 0.6771 0.6513 4.50 2.96 0.1 0.5 0.06 101 100 0.6003 0.52963 0.7259 0.7018 5.20 3.96 0.1 0.5 0.06 102 100 0.7397 0.66896 0.7703 0.7482 5.95 4.96 0.1 0.5 0.06 103 100 0.8776 0.80693 0.8099 0.7901 6.74 5.96 0.1 0.5 0.06 104 100 1.0143 0.94357 0.8448 0.8273 7.57 6.96 0.1 0.5 0.06 105 100 1.1496 1.07891 0.8748 0.8597 8.43 7.96 0.1 0.5 0.06 106 100 1.2837 1.21296 0.9004 0.8874 9.32 8.96