| 期权定价公式的注 |
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| 引用本文： | 柳向东,汤其平,孙友彬.期权定价公式的注[J].大学数学,2011,27(1):118-123. |
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| 作者姓名： | 柳向东 汤其平 孙友彬 |
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| 作者单位： | 暨南大学,统计学系,广东,广州,510632 |
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| 基金项目： | 国家社会科学基金，中央高校基本科研业务费专项资助项目 |
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| 摘 要： | 根据建立在连续支付红利且利率变动的股票上的期权的到期特点,利用两个数字式期权构造的投资组合收益来复制期权从而导出欧氏看跌期权的定价公式,避开了通过求解B-S方程来得到期权价格的困难.运用同样的方法也获得了期货期权公式.
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| 关 键 词： | 数字式期权 欧氏期权 期货期权 B-S偏微分方程(PDE) |
A Note on the Formula of Options Pricing |
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| LIU Xiang-dong,TANG Qi-ping,SUN You-bin.A Note on the Formula of Options Pricing[J].College Mathematics,2011,27(1):118-123. |
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| Authors: | LIU Xiang-dong TANG Qi-ping SUN You-bin |
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| Institution: | LIU Xiang-dong,TANG Qi-ping,SUN You-bin(Department of statistics,Jinan University,Guangzhou,Guangdong 510630,China) |
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| Abstract: | In order to price the option's value,we replicate the option with two digital options,based on the stock which has continuous payment dividend and variable rate.From this way we can avoiding the difficult and complexity,solve the B-S equation to obtain the European put option's formula.Furthermore,we get the future option's formula in the same way. |
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| Keywords: | digital option European option futures option B-S partial differential equation(PDE) |
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