广西科学2012，Vol.19Issue(4)：306-308,3.
随机利率模型下Black-Scholes方程的Dirichlet问题解的存在性
The Existence of the Solution for the Dirichlet Problem of Black-Scholes Equation in Stochastic Interest Rate Modeling
贾丽君1
作者信息
- 1. 广西建设职业技术学院,广西南宁530003
- 折叠
摘要
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.关键词
期权定价/Black-Scholes方程/Dirichlet问题/上下解Key words
option pricing,Black-Scholes equation,Dirichlet problem,sub-supsolution分类
数理科学引用本文复制引用
贾丽君..随机利率模型下Black-Scholes方程的Dirichlet问题解的存在性[J].广西科学,2012,19(4):306-308,3.
