| 具有不同借贷利率的BlackScholes模型 |
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| 引用本文： | 薛红,贺兴时,杨花娥.具有不同借贷利率的BlackScholes模型[J].西安工程科技学院学报,1999(3). |
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| 作者姓名： | 薛红 贺兴时 杨花娥 |
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| 作者单位： | 西北纺织工学院基础部，西安联合大学数学系 |
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| 基金项目： | 西北纺织工学院科学研究项目 |
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| 摘 要： | 在不同借贷利率以及股票的期望收益率、波动率和红利率都随时间变化（非随机）情形下，利用倒向随机微分方程及Ｆｅｙｎｍ ａｎＫａｃ公式得到欧式看涨和看跌期权定价公式．由此可看出借贷利率各自对期权价格的影响，并得到欧式看涨和看跌期权的平价关系．
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| 关 键 词： | 倒向随机微分方程 非线性FeynmanKac公式 偏微分方程 欧式期权 平价关系 |
The Black Scholes Models with Different Brrowing and Lending Rate |
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| Xue Hong,He Xingshi.The Black Scholes Models with Different Brrowing and Lending Rate[J].Journal of Xi an University of Engineering Science and Technology,1999(3). |
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| Authors: | Xue Hong He Xingshi |
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| Abstract: | The pricing problem of European call option and put option by BSDE and Feynman Kac formula is dealt with.Under condition that the borrowing and lending interest rate,the expected rate of return and the volatibity rate and the dividend rate of stock are function of time. The influence of borrowing and lending interest rate on price of European option can be seen,and the put call parity is obtained. |
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| Keywords: | backwards stochastic differential equation non linear Feynman Kac formula partial differential equation European option put call parity |
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