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| 摘要: |
| 在Merton利率模型下，用到了7个假设，这些假设都是为了使期权处于一个风险中性世界，从而可以建立一个无风险证券组合，并设定其收益率等于无风险利率；以连续时间情形为例，利用风险中性秧测度，对B-S公式进行了改进，从而得出欧式股票期权的定价公式。 |
| 关键词: 布朗运动 股票期权 无风险中性定价理论 |
| DOI： |
| 分类号: |
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| Pricing of European Option under Merton Stochastic Interest Rate |
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SUN Ying
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| Abstract: |
| Under Merton inerest rate model,seven suppositions are used,these suppositions aim to let option risk neutrality so that securities portfolio without risk can be set up and let its earnings rate equal to interest rate without risk.Taking consecutive time situation as an example,this paper uses neutral Martingale measurement to improve B-S formula so that the pricing formula for European stock option is obtained. |
| Key words: Brownian motion stock option risk-free neutral pricing theory |
