| 随机微积分推导Black-choles公式 |
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| 引用本文： | 霍轩.随机微积分推导Black-choles公式[J].武汉船舶职业技术学院学报,2008,7(3):29-33. |
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| 作者姓名： | 霍轩 |
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| 作者单位： | 武汉大学经济与管理学院,湖北武汉,430072 |
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| 摘 要： | 本文从布朗运动着手，构造了Ito积分，推导出Ito—Doeblin公式（即伊藤定理），在此基础上得到了公式Black-choles期权定价公式。将数学中的随机微积分应用到金融经济学领域，为微积分在金融经济学中的应用开拓了新的空间。
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| 关 键 词： | 布朗运动 伊藤定理 B-S公式 |
Black-Scholes Model Deduction Based on Stochastic Differential Equation |
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| HUO Xuan.Black-Scholes Model Deduction Based on Stochastic Differential Equation[J].Journal of Wuhan Institute of Shipbuilding Technology,2008,7(3):29-33. |
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| Authors: | HUO Xuan |
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| Institution: | HUO Xuan (Master Degree Candidate of Finance Engineering School of Economics and Management, Wuhan University,Wuhan 430072, China) |
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| Abstract: | Using Brownian process, this article constructs Ito integral, and then deducts Ito-Doeblin formular （Ito Theorem）. Based on this function, we conduct some crucial results, of which the most important lies in Black-Scholes option pricing model. By extending the methodology of stochastic differential equation to the financial field, we reach the conclusion that to date financial economics will only develop and enhance with the application of mathematical knowledge. |
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| Keywords: | Brownian Process Ito Theorem B-S Equation |
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