一种无风险利率时变条件下的Black-Scholes 期权定价模型

摘要

This paper studies the pricing model of Black-Scholes option under the changed risk-free rate, and achieves an improved Black-Scholes option pricing model by the method of the index and Ito formula. It promotes the existing Black-Scholes option pricing model.%本文研究了无风险利率改进的Black-Scholes 期权定价模型问题。利用指数函数和Ito公式的方法，获得了一种改进的Black-Scholes 期权定价模型，推广了现有Black-Scholes 期权定价模型的结果。