布莱克—斯科尔斯期权定价模型的研究  

Researches on Black-Scholes' Option Pricing Model

作　　者：胡春生[1] 

机构地区：[1]贵阳学院经济管理系,贵州贵阳550005

出　　处：《贵阳学院学报（自然科学版）》2010年第2期13-18,共6页Journal of Guiyang University：Natural Sciences

摘　　要：期权的价格变化是一个随机过程,B—S模型的创立开创了以无套利原理为基础的现代金融理论的大规模发展,使金融实践产生了革命性的变化。B—S模型的开创性表现在三个方面——使用瞬间无风险的自我融资交易技术;用无套利方法,获得具有普遍意义、不包含任何风险因素的B—S偏微分方程;诱发了对于公司金融和实际投资领域内问题的或有权益分析方法以及真实期权方法的深入研究和大量运用。分别利用随机偏微分方程方法和鞅方法,着重对B—S模型进行了证明。最后对B—S模型进行了评价。Option price change is a stochastic process. The creation of B - S model created the large - scale development of modem financial theory based on a no - arbitrage principle, which makes the financial practice engender the revolutionary change. The ground - breaking performances of B - S model showed in three areas the use of instant no - risk self - financing trading technology, the access to the B - S partial differential equation of having universal significance and not containing any risk factors with no - arbitrage approach, and the inducing extensive use as well as in - depth study of the contingent claim analysis method and real option method to company financial and the problems of practical investment field. Respectively utilizing the stochastic partial differential equation method and the martingale method, the present article focuses on proving B -S model. Finally, B -S model are evaluated.

关 键 词：布莱克-斯科尔斯模型 期权定价 鞅 伊藤定理 欧式看涨期权 标准维纳过程 

分 类 号：F830.9[经济管理—金融学]