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.
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孙 颖. Merton随机利率模型下欧式期权的定价[J].重庆工商大学学报(自然科学版),2012,29(9):34-37 SUN Ying. Pricing of European Option under Merton Stochastic Interest Rate[J]. Journal of Chongqing Technology and Business University(Natural Science Edition),2012,29(9):34-37