在风险中性的假设下求证Black-scholes公式  

Deriving the Black-Scholes Formula with the Risk-neutral Hypothesis

作　　者：李美蓉[1] 

机构地区：[1]合肥工业大学数学系

出　　处：《合肥师范学院学报》2008年第3期12-15,共4页Journal of Hefei Normal University

摘　　要：Black-scholes期权定价公式的推导过程相当复杂,需要用到随机过程和求解随机微分方程等较高深的数学工具,本文将在风险中性的假设下给出两种Black-scholes期权定价公式的简洁推导方法,使得具有概率统计和微积分基本知识的读者也能理解并欣赏这一公式的导出过程。The derivation of Black-Scholes option pricing formula is very complicated, and it needs some advanced mathematical knowledge such as stochastic process, stochastic differential equation. This paper provides two kinds of simple methods of deriving Black-Scholes option pricing formula with the risk-neutral hypothesis that enable more readers only with elementary probability theory and integral calculus to understand.

关 键 词：BLACK-SCHOLES期权定价公式 对数正态分布 风险中性 

分 类 号：F224.7[经济管理—国民经济]