Black-Scholes公式推导方法及其发展推广  

An Overview of the Deductive Method and Extensions of Black-Scholes Formula

作　　者：王明辉[1] 

机构地区：[1]韶关学院数学与统计学院,广东韶关512005

出　　处：《韶关学院学报》2015年第8期8-12,共5页Journal of Shaoguan University

摘　　要：从Black-Scholes模型的理论背景和假设条件出发,分析了该模型中期权定价公式的推导过程和国内外学者的不同推导方法,最后从放宽假设条件和扩展期权类别两个方面探讨了该公式的推广形式.From the background of theory and assumed condition of Black-Scholes formula, the paper first introduees the derivation of the option pricing formula, then it recommends several deductive approaches used by scholars from home and abroad, finally it presents the promotion of the Black-Scholes model from two aspects, namely the easing of the assumptions and the expansion of the option model.

关 键 词：Black—Scholes模型 期权定价公式 发展推广 

分 类 号：O29[理学—应用数学] F830.9[理学—数学]