| 摘要: |
| 在传统Black-Scholes期权定价模型的基础上,进一步考虑随机利率模型.根据一个自治常微分方程的解的存在性结果,利用上下解方法得到随机利率模型下Black-Scholes方程的Dirichlet问题的解存在的一个条件. |
| 关键词: 期权定价 Black-Scholes方程 Dirichlet问题 上下解 |
| DOI： |
| 投稿时间：2012-05-07 |
| 基金项目: |
|
| The Existence of the Solution for the Dirichlet Problem of Black-Scholes Equation in Stochastic Interest Rate Modeling |
|
JIA Li-jun
|
| (Guangxi Polytechnic of Construction, Nanning, Guangxi, 530003, China) |
| Abstract: |
| Based on the classical Black-Scholes option pricing model, this paper further considers the stochastic interest rate case.According to the result about the existence of the solution of an autonomy ordinary differential equation, we obtain an existence condition for the solution of the Black-Scholes Dirichlet problem with stochastic interest rate using sub-supsolution method. |
| Key words: option pricing Black-Scholes equation Dirichlet problem sub-supsolution |
