基于对数正态分布代入法的布莱克—斯科尔斯模型的研究

根据正态分布的特性和证券价格自然对数的变化特征,先推导出一个具有普适价值的对数正态分布公式,然后结合期权定价的特征,导出了布莱克—斯科尔斯期权定价公式。此方法笔者将之命名为对数正态分布代入法。与随机偏微分方程方法和鞅方法相比较,这种方法对数学的要求并不高,只需掌握常规的概率论知识即可,因此它简单易懂,便于理解接受。

the study of Black- Scholes, model based on the log- normal distribution method

According to the features of normal distribution and the variance features of natural logarithm of securities price, this article first derive a log---normal distribution formula which owns universal value, and then combined with the characteristics of option pricing, derive the B-- S option pricing formula. The author named this method the law into log - normal distribution. Compared with the methods of stochastic partial differential equation and martingale, this method does not require high math, just to master the knowledge of conventional probability theory can be. So it is easy to un- derstand, and easy to accept.