一个关于Black-Scholes方程的问题的证明
he Proving of A Problem about Black-Scholes Function
本文先给出了用二叉树方法求得的欧式看涨期权定价的离散形式V n j ,然 后经过适当的延拓，定义了一个给定在区域§ : f0 · s < 1; 0 · t · Tg 上的函 数V¢(s; t),最后证明了在合理的假设条件下，V¢(s; t) 的极限函数V (s; t)是Black- Scholes方程的解。
his paper ¯rstly presents the pricing of European call option in discrete form V n j by using bintree method,then it extend V n j properly and de¯ne a function V¢(s; t) in given domain § : f0 · s < 1; 0 · t · Tg.At last,under some rational assumptions,it prove the limit function V (s; t) of V¢(s; t) is the solution of Black-scholes equation.
严定琪、冯杰才
数学财政、金融
Black-Scholes方程二叉树方法期权定价.
Black-scholes equationbintree methodoption pricing.
严定琪,冯杰才.一个关于Black-Scholes方程的问题的证明[EB/OL].(2008-04-01)[2025-08-18].http://www.paper.edu.cn/releasepaper/content/200804-16.点此复制
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