欧式期权市场中带消费行为的投资策略研究

A Study on Strategies with Consumption in European Options Market

以随机微分方程理论为依托,在经典Black-Scholes模型的基础上进行补充,对欧式期权市场中的投资策略进行了研究,给出了满足预算条件的消费行为的参数限定.

Using the theory of stochastic differential equations , the classic Black-Sholes model is improved .The in-vestment strategies with consumption in European options market are discussed and the conditions under which the consumption is budget-feasible are presented .