| 标的资产服从一般Ito随机过程的期权定价模型 |
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| 引用本文： | 胡支军.标的资产服从一般Ito随机过程的期权定价模型[J].贵州大学学报(自然科学版),2003,20(1):20-23. |
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| 作者姓名： | 胡支军 |
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| 作者单位： | 西南交通大学经济管理学院,四川,成都,610031 |
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| 摘 要： | 首先介绍标准的B1acke-Scholes期权定价模型，然后在假设标的资产(以股票为例)价格服从一般的Ito随机过程，即标的股票价格变化为非线性的情况下，推导了一个新的期权定价模型，结合边界条件给出了数值求解该方程的有限差分法，推广了一些已有的结果。
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| 关 键 词： | 标的资产 Ito随机过程 B1acke－Scholes期权定价模型 股票价格 有限差分法 |
| 文章编号： | 1000-5269(2003)01-0020-04 |
| 修稿时间： | 2002年1月21日 |
Option Pricing Model Whose Underlying Asset Price Change Follows the General Stochastic Ito Process |
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| HU Zhi-jun.Option Pricing Model Whose Underlying Asset Price Change Follows the General Stochastic Ito Process[J].Journal of Guizhou University(Natural Science),2003,20(1):20-23. |
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| Authors: | HU Zhi-jun |
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| Abstract: | At first we introduce the Black-Scholes option pricing model, then by the assumption that the underlying asset pricing process is a general Ito stochastic process,i.e. the underlying asset price change could be nonlinear, we obtain a new model for option pricing,and present the finite difference scheme for numerical solution of new model with boundary condition,improved some origianl results. |
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| Keywords: | option pricing Ito stochastic process underlying asset implicit finite difference scheme |
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