GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

数学物理学报(英文版) ›› 1999, Vol. 19 ›› Issue (3): 279-288.

GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

张顺明, 柳再华

School of Economics and Management, Tsinghua University, Beijing 100084, China Department of Basic Mathematics, Tongji Medical University, Wuhan 430030, China

收稿日期:1997-06-09 修回日期:1997-11-21
基金资助:
This research is supported by a project of Financial Mathematics,
Financial Engineering and Financial Management, which is one of ”Ninth Five-Year Plan” Major Projects
of National Natural Science Foundation of China (Grant 79790130),and Xiao Lin-Shi Foundation of China
Economic Research, School of Economics and Management, Tsinghua University.

GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

ZHANG Shun-Meng, LIU Zai-Hua

School of Economics and Management, Tsinghua University, Beijing 100084, China Department of Basic Mathematics, Tongji Medical University, Wuhan 430030, China

Received:1997-06-09 Revised:1997-11-21
Supported by:
This research is supported by a project of Financial Mathematics,
Financial Engineering and Financial Management, which is one of ”Ninth Five-Year Plan” Major Projects
of National Natural Science Foundation of China (Grant 79790130),and Xiao Lin-Shi Foundation of China
Economic Research, School of Economics and Management, Tsinghua University.

摘要/Abstract

摘要：

This paper studies the multi-dimensional Black-Scholes model of security val-
uation. The extension of the Black-Scholes model implies the partial differential equation
derived from an absence of arbitrage which the authors solve by using the Feynmen-Kac
Formula. Then they compute its special example by solving the multi-variable partial
differential equation.

关键词: Black-Scholes model, stochastic differential equation,, partial differential equation, Cauchy problem

Abstract:

Key words: Black-Scholes model, stochastic differential equation,, partial differential equation, Cauchy problem

中图分类号:

35K05

张顺明, 柳再华. GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION[J]. 数学物理学报(英文版), 1999, 19(3): 279-288.

ZHANG Shun-Meng, LIU Zai-Hua. GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION[J]. Acta mathematica scientia,Series B, 1999, 19(3): 279-288.

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GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

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