讨论股票价格受随机环境影响时期权的定价问题,用等价鞅测度方法给出欧式期权定价公式,以及随机环境为布朗运动且对股价波动率、期望收益率、随机利率产生影响时欧武看涨期权的定价公式.
Option pricing when stock prices are influenced by random environment is studied. An European option pricing formulae was presented by methods of equivalent martingale measure. Moreover, an improved option pricing formulae in the random environment of Brownian motion is given, including the change of volatility, risk-free rate and appreciation rate.