布朗运动与股票、期权  

BROWNIAN MOTION AND STOCK AND OPTION

作　　者：章南陵[1] 陆瑞征[1] 

机构地区：[1]同济大学物理系

出　　处：《工科物理》1999年第3期31-32,27,共3页

摘　　要：布朗运动是生物学家布朗首先发现的物理现象，物理学家、诺贝尔奖获得者爱因斯坦和佩兰曾深入地从理论和实验上研究布朗运动．出乎意料的是数学家、金融学家也研究布朗运动，１９９７年度诺贝尔经济学奖授予莫顿和斯科尔斯，表彰他们与布莱克合作推导并发展期权定价模型所作的贡献，而他们的理论出发点之一就是布朗运动．Brownian motion is the physical phenomenon which was first discovered by the bio logist Brown.Physicists and Noble Prize winners Einstein and Perrin researched B rownian motion theoretically and experimentally.Believe it or not,mathematicians and financiers also studied the theory.In 1997, Merton and Scholes were awarded the Nobel Prize of Economics commending their contribution to the pricing model of option which was developed by them and Prof.Black,however,one of the theory f oundations is also Brownian Motion.

关 键 词：布朗运动 股票 期权 定价模型 

分 类 号：O552.1[理学—热学与物质分子运动论] F830.9[理学—物理]