摘要
Abstract
Similar to the method of continuum mecha nics, the variation of the price of index futures is viewed to be continuous and regu lar. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution s h ows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a re lation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes, w inner of 1997 Nobel' prize on economy. In that formula, the probability of pr ice of basic assets (they stand for index futures here) is assummed to be a logarit hmic normal distribution. This agreement shows that the same result may be obtai ned by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the d ifferential equation.关键词
金融衍生产品/期货/股票指数期货(期指)/Black-Sholes模型/微分方程分类
管理科学
