| 期权定价Black-scholes公式的一个新推导 |
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| 引用本文：潘冠中，马晓兰.期权定价Black-scholes公式的一个新推导[J].经济数学,2012,(2):57-60 |
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| 中文摘要:文章提出Black-scholes公式的一个新推导.在风险中性定价的框架下，通过对正态分布的性质及其矩母函数的熟练运用，可以快速容易地导出Black-scholes公式.并且在此推导过程中，公式中的概率值Φ（d1),Φ(d2)的含义得以明确体现. |
| 中文关键词:Black-scholes公式 风险中性定价 矩母函数 |
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| A New Derivation for Black-scholes Option Pricing Formula |
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| Abstract:This article presented a new derivation for Black-scholes option pricing formula. In the framework of risk-neutral pricing, by adeptly using certain properties of normal distribution and normal moment generating function, we can derive Black-scholes option pricing formula quickly and easily. Furthermore, in the deriving process, the implications of the probabilities of Φ（d1) and Φ(d2) in the formula can be shown very clearly. |
| keywords:Black-scholes formula risk-neutral pricing normal moment generating function |
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