定价策略：black-scholes option pricing formula.pptVIP

Lecture #9: Black-Scholes option pricing formula ·??????? Brownian Motion The first formal mathematical model of financial asset prices, developed by Bachelier (1900), was the continuous-time random walk, or Brownian motion. This continuous-time process is closely related to the discrete-time versions of the random walk. ·??????? The discrete-time random walk Pk = Pk-1 + ?k, ?k = ? (-?) with probability ? (1-?), P0 is fixed. Consider the following continuous time process Pn(t), t ? [0, T], which is constructed from the discrete time process Pk, k=1,..n as follows: Let h=T/n and define