| 摘要: |
| 本文研究了无风险利率改进的Black-Scholes期权定价模型问题.利用指数函数和Ito公式的方法,获得了一种改进的Black-Scholes期权定价模型,推广了现有Black-Scholes期权定价模型的结果. |
| 关键词: Black-Scholes 模型 期权定价 无风险利率 看涨期权 |
| DOI： |
| 分类号:O213 |
| 基金项目:"十二五"国家基金项目:建筑室外环境舒适度改善模拟与评价研究基金资助(2013BAJ02B00);创新项目基金基金资助(2013-Ia-008). |
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| A BLACK-SCHOLES OPTION PRICING MODE BASED ON THE RISK-FREE INTEREST RATE UNDER VARYING CONDITIONS |
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REN Zhi-ge, HE Lang, HUANG Zhang-can
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School of Science, WuHan University of Technology, Wuhan 430070, China
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| Abstract: |
| This paper studies the pricing model of Black-Scholes option under the changed risk-free rate, and achieves an improved Black-Scholes option pricing model by the method of the index and Ito formula. It promotes the existing Black-Scholes option pricing model. |
| Key words: Black-Scholes model option pricing risk-free rate call options |
