修正的Black-Scholes方程初边值问题的应用  

Application on Modified Black-Scholes Equation and Initial Boundary Value Problem

作　　者：夏莉[1] 

机构地区：[1]重庆工商大学理学院,重庆400067

出　　处：《西南大学学报（自然科学版）》2007年第6期36-39,共4页Journal of Southwest University(Natural Science Edition)

基　　金：重庆市教委自然科学基金资助项目(KJ060709).

摘　　要：通过一系列函数变换,求出了带初边值问题的欧式定价模型修正的Black-Scholes方程的解,并应用其结论,对股票与国债的投资组合进行了分析选择.The solution of the Black-Scholes equation modified by the European opiion pricing model with the inital boundary problem is obtained by a series of function transformations. The result is applied to the analysis and selection of investment portfolios of stock and bond of China.

关 键 词：修正的Black-Scholes方程 期权定价 瞬时利率 

分 类 号：O175.2[理学—数学] F224.9[理学—基础数学]