【摘要】 从微分方程的角度来诠释了B lack-Scho les期权定价公式的由来.利用随机微分方程F eynm an-K ac定理,推导出B lack-Scho les期权定价公式.结果表明:B lack-Scho les微分方程及其边界条件恰好满足于随机微分方程F eynm an-K ac定理中的C auchy问题,从而存在唯一解.更多还原

【Abstract】 Option pricing model is an important content of analysis of the option theory,which is the foundation of finance engineering.From the partial differential equation view,the origin of the Black-Scholes formula is studied,and the formula is deduced by utilizing the random differential equation Feynman-Kac theory.The result shows that Black-Scholes differential equation and its boundary conditions meet the Cauchy conditions in random differential equation Feyman-Kac theory,with just only one root.更多还原