| 一种无风险利率时变条件下的Black-Scholes期权定价模型 |
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| 引用本文： | 任智格,何朗,黄樟灿.一种无风险利率时变条件下的Black-Scholes期权定价模型[J].数学杂志,2015,35(1):203-206. |
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| 作者姓名： | 任智格 何朗 黄樟灿 |
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| 作者单位： | 武汉理工大学理学院,湖北武汉,430070 |
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| 基金项目： | “十二五”国家基金项目:建筑室外环境舒适度改善模拟与评价研究基金资助，创新项目基金基金资助 |
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| 摘 要： | 本文研究了无风险利率改进的Black-Scholes期权定价模型问题.利用指数函数和Ito公式的方法,获得了一种改进的Black-Scholes期权定价模型,推广了现有Black-Scholes期权定价模型的结果.
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| 关 键 词： | Black-Scholes模型 期权定价 无风险利率 看涨期权 |
| 收稿时间： | 2014/1/22 0:00:00 |
| 修稿时间： | 2014/6/20 0:00:00 |
A BLACK-SCHOLES OPTION PRICING MODE BASED ON THE RISK-FREE INTEREST RATE UNDER VARYING CONDITIONS |
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| REN Zhi-ge,HE Lang and HUANG Zhang-can.A BLACK-SCHOLES OPTION PRICING MODE BASED ON THE RISK-FREE INTEREST RATE UNDER VARYING CONDITIONS[J].Journal of Mathematics,2015,35(1):203-206. |
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| Authors: | REN Zhi-ge HE Lang and HUANG Zhang-can |
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| Institution: | School of Science, WuHan University of Technology, Wuhan 430070, China,School of Science, WuHan University of Technology, Wuhan 430070, China and School of Science, WuHan University of Technology, Wuhan 430070, China |
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| Abstract: | This paper studies the pricing model of Black-Scholes option under the changed risk-free rate, and achieves an improved Black-Scholes option pricing model by the method of the index and Ito formula. It promotes the existing Black-Scholes option pricing model. |
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| Keywords: | Black-Scholes model option pricing risk-free rate call options |
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