期权定价Black-scholes公式的一个新推导

A New Derivation for Black-scholes Option Pricing Formula

文章提出Black-scholes公式的一个新推导.在风险中性定价的框架下,通过对正态分布的性质及其矩母函数的熟练运用,可以快速容易地导出Black-scholes公式.并且在此推导过程中,公式中的概率值Φ(d1),Φ(d2)的含义得以明确体现.

This article presented a new derivation for Black-scholes option pricing formula. In the framework of risk- neutral pricing, by adeptly using certain properties of normal distribution and normal moment generating function, we can derive Black scholes option pricing formula quickly and easily. Furthermore, in the deriving process, the implications of the probabilities of φ（d1）,φ（d2） in the formula can be shown very clearly.