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期权定价公式的概率论推导

Keywords: 期权定价,概率论,积分变换

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Abstract:

为了揭示概率论思想在实际金融问题中的具体运用过程,在经典金融原理假设的基础上,独立推证了通过概率论途径寻求期权定价公式的具体步骤.首先通过严密的逻辑演绎,给出了如何在合理的假设基础上,将实际金融背景转换为概率}仑模型的详细过程,包括股票价格变化的随机过程,通过Ito引理描述了无套利均衡期权价格变化的数学模型;其次给出了在利用概率模型求解期权定价公式时所涉及到的积分变量替换的具体公式.

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