摘要
期权定价的Black Scholes公式的推导需要解偏微分方程,使期权价格的确定不易理解.为此,将期权交易看成博弈过程,则确定期权价格就变成了计算期权交易过程中股票的收益期望值.股票价格的变化是无限随机过程,通过计算此随机过程的分布密度函数,就可得出期望值.
The principle of option pricing is difficult to understand because derivation of the BlackScholes formula needs the knowledge of complicated partial derivation. To make it simple, trading of options is regarded as a game, and option pricing becomes calculation of the expectation value of a share during the trade. The variation of the price of a share is an infinite random process. Therefore, the expectation value can be obtained through calculation of the distribution function of the random process.
出处
《西南交通大学学报》
EI
CSCD
北大核心
2003年第3期367-370,共4页
Journal of Southwest Jiaotong University
