| 两个期权定价模型的比较 |
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| 引用本文： | 孙胜利.两个期权定价模型的比较[J].商丘师范学院学报,2006,22(5):43-45. |
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| 作者姓名： | 孙胜利 |
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| 作者单位： | 商丘职业技术学院,学报编辑部,河南,商丘,476000 |
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| 基金项目： | 河南省教育厅自然科学基金(200510483002)资助项目 |
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| 摘 要： | 我们首先给出Black-Scholes期权定价模型,并用鞅方法导出其定价公式,然后引入O-U过程期权定价模型,通过分析比较发现这两个模型都满足相同的随机微分方程,并且在此两模型下期权具有相同的价格.
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| 关 键 词： | Black-Scholes O-U过程 期权定价模型 风险中性 |
| 文章编号： | 1672-3600（2006）05-0043-03 |
| 收稿时间： | 2005-10-24 |
| 修稿时间： | 2005年10月24 |
Comparison between two option pricing models |
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| SUN Sheng-li.Comparison between two option pricing models[J].Journal of Shangqiu Teachers College,2006,22(5):43-45. |
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| Authors: | SUN Sheng-li |
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| Institution: | Editorial Department of Journal of Shangqiu Vocational and Technical College, Shangqiu 476000, China |
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| Abstract: | Through analysis and comparison,it has been found that both of the models can meet the same stochastic differential equations and the option is of the same price under the model,with Black-Scholes' option pricing model given first,and then its pricing formula deduced by martingale approach,and finally option pricing model of O-U process introduced. |
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| Keywords: | Black-Scholes O-U process option pricing model risk neutral |
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