欧式期权市场中带消费行为的投资策略研究  

A Study on Strategies with Consumption in European Options Market

作　　者：郑兆顺[1] 孙述雷 

机构地区：[1]濮阳职业技术学院,河南濮阳457000 [2]濮阳市第七中学,河南濮阳457000

出　　处：《河南教育学院学报（自然科学版）》2015年第2期46-48,共3页Journal of Henan Institute of Education(Natural Science Edition)

摘　　要：以随机微分方程理论为依托,在经典Black-Scholes模型的基础上进行补充,对欧式期权市场中的投资策略进行了研究,给出了满足预算条件的消费行为的参数限定.Using the theory of stochastic differential equations , the classic Black-Sholes model is improved .The in-vestment strategies with consumption in European options market are discussed and the conditions under which the consumption is budget-feasible are presented .

关 键 词：BLACK-SCHOLES模型 欧式期权 消费行为 投资策略 

分 类 号：F224.7[经济管理—国民经济]