摘要
在不同借贷利率以及股票的期望收益率、波动率和红利率都随时间变化（非随机）情形下，利用倒向随机微分方程及Ｆｅｙｎｍ ａｎＫａｃ公式得到欧式看涨和看跌期权定价公式．由此可看出借贷利率各自对期权价格的影响，并得到欧式看涨和看跌期权的平价关系．
The pricing problem of European call option and put option by BSDE and Feynman Kac formula is dealt with.Under condition that the borrowing and lending interest rate,the expected rate of return and the volatibity rate and the dividend rate of stock are function of time. The influence of borrowing and lending interest rate on price of European option can be seen,and the put call parity is obtained.
出处
《西北纺织工学院学报》
1999年第3期271-276,共6页
Journal of Northwest Institute of Textile Science and Technology
基金
西北纺织工学院科学研究项目
关键词
欧式期权
借贷利率
期权价格
BLACK
Scholes
backwards stochastic differential equation,non linear Feynman Kac formula, partial differential equation,European option,put call parity.
