| Merton随机利率模型下欧式期权的定价 |
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| 引用本文： | 孙,颖.Merton随机利率模型下欧式期权的定价[J].重庆工商大学学报(自然科学版),2012,29(9):34-37. |
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| 作者姓名： | 孙 颖 |
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| 作者单位： | 西安工业大学理学院,陕西西安,710032 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 在Merton利率模型下,用到了7个假设,这些假设都是为了使期权处于一个风险中性世界,从而可以建立一个无风险证券组合,并设定其收益率等于无风险利率;以连续时间情形为例,利用风险中性鞅测度,对B—S公式进行了改进,从而得出欧式股票期权的定价公式。
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| 关 键 词： | 布朗运动 股票期权 无风险中性定价理论 |
Pricing of European Option under Merton Stochastic Interest Rate |
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| SUN Ying.Pricing of European Option under Merton Stochastic Interest Rate[J].Journal of Chongqing Technology and Business University:Natural Science Edition,2012,29(9):34-37. |
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| Authors: | SUN Ying |
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| Institution: | SUN Ying(School of Science,Xian Technological University,Shaanxi Xian 710032,China) |
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| Abstract: | Under Merton inerest rate model,seven suppositions are used,these suppositions aim to let option risk neutrality so that securities portfolio without risk can be set up and let its earnings rate equal to interest rate without risk.Taking consecutive time situation as an example,this paper uses neutral Martingale measurement to improve B-S formula so that the pricing formula for European stock option is obtained. |
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| Keywords: | Brownian motion stock option risk-free neutral pricing theory |
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