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一种无风险利率时变条件下的Black-Scholes期权定价模型
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.
作者姓名:任智格  何朗  黄樟灿
作者单位:武汉理工大学理学院,湖北武汉,430070
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
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。

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
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.
Authors:REN Zhi-ge  HE Lang and HUANG Zhang-can
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
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.
Keywords:Black-Scholes model  option pricing  risk-free rate  call options
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