金融领域的随机建模与基于软件R的Monte Carlo模拟(5):Black-Scholes的世界  

Stochastic Modelling in Financeand Monte Carlo Simulations with R. Part E: The Black-Scholes world

作　　者：毛学荣 李晓月[2] 

机构地区：[1]斯特莱斯克莱德大学数学系 [2]东北师范大学数学与统计学院,长春130024

出　　处：《南京信息工程大学学报（自然科学版）》2015年第5期408-413,共6页Journal of Nanjing University of Information Science & Technology（Natural Science Edition）

基　　金：国家自然科学基金(11171056;11171081)

摘　　要：主要研究了Black-Scholes模型.与Black-Scholes期权定价公式相比,将再次强调和证实利用R软件Monte Carlo模拟的强大作用.The key aim of this serial papers is to study various stochastic models in finance with emphasis on the Monte Carlo simulations with R for these models. In this paper,we studied the Black-Scholes model,which was originally established by Black and Scholes and later developed by Merton. Our emphasis is still on the Monte Carlo simulations with R. Compared with the Black-Scholes formulas on the option values,we show once again the power of the Monte Carlo simulations.

关 键 词：Black-Scholes偏微分方程 Black-Scholes公式 MONTE CARLO模拟 EULER-MARUYAMA方法 

分 类 号：F830[经济管理—金融学]