| 期权定价Black-scholes公式的一个新推导 |
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| 引用本文： | 潘冠中,马晓兰.期权定价Black-scholes公式的一个新推导[J].经济数学,2012,29(2):57-60. |
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| 作者姓名： | 潘冠中 马晓兰 |
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| 作者单位： | 1. 云南财经大学金融学院,云南昆明,650221
2. 云南财经大学统计与数学学院,云南昆明,650221 |
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| 摘 要： | 文章提出Black scholes公式的一个新推导.在风险中性定价的框架下,通过对正态分布的性质及其矩母函数的熟练运用,可以快速容易地导出Black-scholes公式.并且在此推导过程中,公式中的概率值Φ(d1),Φ(d2)的含义得以明确体现.
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| 关 键 词： | Black-scholes公式 风险中性定价 矩母函数 |
A New Derivation for Black-scholes Option Pricing Formula |
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| PAN Guang-zhong,MA Xiao-lan.A New Derivation for Black-scholes Option Pricing Formula[J].Mathematics in Economics,2012,29(2):57-60. |
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| Authors: | PAN Guang-zhong MA Xiao-lan |
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| Institution: | 1.School of Finance,Yunnan University of Finance and Economics,Kunming,Yunan 650221,China; 2.School of Statistics and Mathematics,Yunnan University of Finance and Economics,Kunming,Yunan 650221,China) |
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| Abstract: | This article presented a new derivation for Black-scholes option pricing formula.In the framework of risk-neutral pricing,by adeptly using certain properties of normal distribution and normal moment generating function,we can derive Black-scholes option pricing formula quickly and easily.Furthermore,in the deriving process,the implications of the probabilities of Φ(d1) and Φ(d2) in the formula can be shown very clearly. |
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| Keywords: | Black-scholes formula risk-neutral pricing normal moment generating function |
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