摘要
传统的期权定价公式Black-Scholes公式需要一些前提条件,其中之一就是利率在期权的生命期内为常数,而现实中利率水平通常是不确定性变化的.本文假设利率服从一个马尔可夫过程,从而得到一个不同的期权定价公式.
The Black-Scholes option pricing formula is built on some assumptions, one of which is that the level of the interest rate is constant during its life, but in reality it is often uncertain, hence we assume that the level of interest rates follow a Markov process and get a new European option pricing formula.
出处
《华中师范大学学报（自然科学版）》
CAS
CSCD
北大核心
2004年第2期153-155,共3页
Journal of Central China Normal University：Natural Sciences
基金
国家自然科学基金资助项目(70071012).
关键词
期权定价
随机利率
马尔科夫方法
转移概率矩阵
option pricing
stochastic interest rates
Markov approach
transition probability
