| 期货期权的多维Black-Scholes模型 |
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| 引用本文： | 薛红.期货期权的多维Black-Scholes模型[J].西安工程科技学院学报,2001,15(1):72-75. |
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| 作者姓名： | 薛红 |
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| 作者单位： | 薛红（西北纺织工学院数理系, 陕西西安 710048） |
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| 摘 要： | 建立了具有变系数的期货期权的多维Black-Scholes模型.利用倒向随机微分方程和鞅方法,直接得到欧式期货未定权益的一般定价公式以及套期保值策略.由此给出了欧式期货看涨期权与看跌期权的定价公式与套期保值策略.
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| 关 键 词： | 期货期权 未定权益 Black-Scholes模型 倒向随机微分方程 鞅方法 |
| 文章编号： | 1001-7305(2001)01-0072-04 |
| 修稿时间： | 2000年12月21 |
Multi-dimensional Black-Scholes model on future option |
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| XUE Hong.Multi-dimensional Black-Scholes model on future option[J].Journal of Xi an University of Engineering Science and Technology,2001,15(1):72-75. |
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| Authors: | XUE Hong |
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| Abstract: | Multi dimensional Black Scholes model with non constant coefficients on future option is established in this paper.The pricing formula and hedging strategy of European Future contingent claim are obtained by back ward stochastic different equation and martingale method.In view of the result,the pricing formula and hedging strategy of European Future call and put option are given. |
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| Keywords: | future option contingent claim Black-Scholes model back-ward stochastic different equation martingale method |
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