| Black-Scholes模型的一种求解方法 |
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| 引用本文： | 刘任河,熊晓龙. Black-Scholes模型的一种求解方法[J]. 经济数学, 2007, 24(2): 180-184 |
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| 作者姓名： | 刘任河 熊晓龙 |
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| 作者单位： | 武汉工程大学理学院,武汉,430074;武汉工程大学理学院,武汉,430074 |
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| 摘 要： | 本文简化了Black-Scholes方程的求解过程,获得了欧式看涨期权的定价公式,有助于理解传统的期权定价原则.
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| 关 键 词： | Black-Scholes假设 几何布朗运动 资产组合 欧式看涨期权 Black-Scholes微分方程 |
| 修稿时间： | 2007-01-08 |
BLACK-SCHOLES MODEL AND ITS SOLVING |
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| Liu Renhe,Xiong Xiaolong. BLACK-SCHOLES MODEL AND ITS SOLVING[J]. Mathematics in Economics, 2007, 24(2): 180-184 |
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| Authors: | Liu Renhe Xiong Xiaolong |
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| Abstract: | This paper simplify the solving process of Black-Scholes equation and get the pricing formulae of European call option.This help to understand the principles of option pricing. |
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| Keywords: | Black-Scholes assumptions geometric Brownnian motion portfolio European call option Black-Scholes differential equation. |
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