摘要
假定无风险利率和波动率随时间变化,运用热传导方程,推导出风险中性世界中两值期权的定价公式。并验证了若无风险利率和波动率是常数,推导得出的两值期权价值的计算公式和系数是常数的两值期权的定价公式相同。
Assuming that the risk-free of interest rate violates as time, the pricing formula of binaryoption in the risk neutral world is derived by using heat conduction equation. And it is proved that whenthe interest rate and the volatility are constant, the pricing formula of binary option derived from thederivation is the same as that of the ordinary binary option.
出处
《三明学院学报》
2016年第4期1-5,共5页
Journal of Sanming University
基金
宁德师范学院青年教师专项课题(2014Q62)
