| 期权定价原理的数理逻辑探析 |
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| 引用本文： | 陈占锋,章珂.期权定价原理的数理逻辑探析[J].中国管理科学,2001,9(2):10-15. |
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| 作者姓名： | 陈占锋 章珂 |
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| 作者单位： | 同济大学管理学院, 上海200433 |
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| 基金项目： | 国家自然科学基金资助项目(70003004)和中国博士后科研基金资助项目 |
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| 摘 要： | 对股票期权定价原理中的数理逻辑方面的思路进行详细的剖析,从随机偏微分方程途径与概率论途径两个角度仔细描述了期权定价过程中,每个具体的主要演进步骤。文中内容以一盖全地揭示出现代金融理论在估计金融创新工具价值方面,先进的数学技术是如何发挥有效作用的。我们以欧式看涨期权为例,分析Black-Scholes定价思路中的数理逻辑的演绎过程。
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| 关 键 词： | 期权定价 Blac-Scholes公式 数理演绎 |
| 文章编号： | 1003-207(2001)02-0010-06 |
| 收稿时间： | 1999-10-20; |
| 修稿时间： | 1999年10月20 |
Approaching Mathematical Logic of the Option Pricing Principles |
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| CHEN Zhan-feng,ZHANG Ke.Approaching Mathematical Logic of the Option Pricing Principles[J].Chinese Journal of Management Science,2001,9(2):10-15. |
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| Authors: | CHEN Zhan-feng ZHANG Ke |
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| Institution: | School of Finance, Shanghai University of Finance & Economics, Shanghai, 200433, China |
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| Abstract: | A detailed investigation into the option pricing process is presented in this paper from the angle of mathematical deduction. Every deductive reasoning procedure in both stochastic partial differential equation approach and probabilistic approach are described. The paper also reveals generally that how the mathematical techniques are applied to modern financial theories, especially to the valuation of derivatives. The author take European call option as the example, dissecting the conventional assumptions in Black-Scholes formulation. |
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| Keywords: | option pricing Black-Scholes formulation mathematical deduction |
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