| 金融领域的随机建模与基于软件R的Monte Carlo模拟(5):Black-Scholes的世界 |
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| 引用本文： | 毛学荣,李晓月.金融领域的随机建模与基于软件R的Monte Carlo模拟(5):Black-Scholes的世界[J].南京气象学院学报,2015,7(5):408-413. |
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| 作者姓名： | 毛学荣 李晓月 |
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| 作者单位： | 斯特莱斯克莱德大学 数学系, 格拉斯哥, G1 1XT, 英国;东北师范大学 数学与统计学院, 长春, 130024 |
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| 基金项目： | 国家自然科学基金(11171056,11171081) |
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| 摘 要： | 主要研究了Black-Scholes模型.与Black-Scholes期权定价公式相比,将再次强调和证实利用R软件Monte Carlo模拟的强大作用.
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| 关 键 词： | Black-Scholes偏微分方程 Black-Scholes公式 Monte Carlo模拟 Euler-Maruyama方法. |
| 收稿时间： | 2014/9/13 0:00:00 |
Stochastic Modelling in Financeand Monte Carlo Simulations with R. Part E:The Black-Scholes world |
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| MAO Xuerong and LI Xiaoyue.Stochastic Modelling in Financeand Monte Carlo Simulations with R. Part E:The Black-Scholes world[J].Journal of Nanjing Institute of Meteorology,2015,7(5):408-413. |
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| Authors: | MAO Xuerong and LI Xiaoyue |
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| Institution: | Department of Mathematics and Statistics, University of Strathclyde, Glasgow, G1 1XT, Scotland, UK;School of Mathematics and Statistics, Northeast Normal University, Changchun 130024 |
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| Abstract: | The key aim of this serial papers is to study various stochastic models in finance with emphasis on the Monte Carlo simulations with R for these models.In this paper,we studied the Black-Scholes model,which was originally established by Black and Scholes and later developed by Merton.Our emphasis is still on the Monte Carlo simulations with R.Compared with the Black-Scholes formulas on the option values,we show once again the power of the Monte Carlo simulations. |
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| Keywords: | Black-Scholes PDE Black-Scholes formulas Monte Carlo simulations Euler-Maruyama method |
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