摘要
对欧式期权定价的B-S模型进行了推广。即假设股票价格过程服从布朗运动和泊松过程,且在有效期连续分红的情况下,导出股票衍生证券的定价模型及其推广形式,并得到相应的求解公式,同时表明了传统的定价公式是新公式的特殊情况。
The European B-S model of option pricing is extended. On the assumption that the prices of stock follows geometric Brownian motion and Passion process, and under the continue dividend in the valid period,the derivative securities option pricing model and its extension pattern are induced, and also the corresponding formula for its solution is obtained, whereby indicating that the traditional pricing formula is the special situation of the new one.
出处
《西安理工大学学报》
CAS
2003年第4期377-381,共5页
Journal of Xi'an University of Technology
基金
陕西省自然科学基金资助项目(03KJ173)
关键词
期权定价
布朗运动
泊松过程
option pricing
brownian motion
poisson process
