| Black-Scholes期权模型的一种定价方法 |
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| 引用本文： | 金浩,刘新平,李顺.Black-Scholes期权模型的一种定价方法[J].山西大学学报(自然科学版),2006,29(1):33-35. |
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| 作者姓名： | 金浩 刘新平 李顺 |
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| 作者单位： | 陕西师范大学,数学与信息科学学院,陕西,西安,710062 |
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| 基金项目： | 国家高技术研究发展计划(863计划) |
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| 摘 要： | 从微分方程的角度来诠释了B lack-Scho les期权定价公式的由来.利用随机微分方程F eynm an-K ac定理,推导出B lack-Scho les期权定价公式.结果表明:B lack-Scho les微分方程及其边界条件恰好满足于随机微分方程F eynm an-K ac定理中的C auchy问题,从而存在唯一解.
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| 关 键 词： | Black-Scholes模型 期权定价公式 Feynman-Kac定理 风险中性定理 |
| 文章编号： | 0253-2395(2006)01-0033-03 |
| 收稿时间： | 2005-11-07 |
| 修稿时间： | 2005年11月7日 |
A Pricing Method on Black-Scholes Option Model |
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| JIN Hao,LIU Xin-ping,LI Shun.A Pricing Method on Black-Scholes Option Model[J].Journal of Shanxi University (Natural Science Edition),2006,29(1):33-35. |
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| Authors: | JIN Hao LIU Xin-ping LI Shun |
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| Abstract: | Option pricing model is an important content of analysis of the option theory,which is the foundation of finance engineering.From the partial differential equation view,the origin of the Black-Scholes formula is studied,and the formula is deduced by utilizing the random differential equation Feynman-Kac theory.The result shows that Black-Scholes differential equation and its boundary conditions meet the Cauchy conditions in random differential equation Feyman-Kac theory,with just only one root. |
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| Keywords: | Black-Scholes model option pricing formula Feynman-Kac theorem Risk-Neutrals theorem |
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