對布列克氏“我們如何發現選擇權公式”一文的補充

A Pedagogic Complement on Black's ＂How We Came Up with the Option Formula＂

10.6545/JoFS.1994.1(2).5

黃連業(Dar-Yeh Hwang)；周治邦(Jyh-Bang Jou)

中國財務學刊

1卷2期（1994 / 01 / 31）

65 - 77

英文

本文捕充曹雪．布列克最近的文章“我們如何發現選擇權公式”。二十年前，著名的布列克－謝爾思選擇權公式即已出現，然而，一般人卻不知道如何一步一步推導核公式。在庫勒特（1988）推導該公式的過程中，不但出現錯誤而且也忽略一些重要步驟。本文可補足該文的缺憾。

This paper complements Black's (1989) recent paper ＂How We Came Up With the Option Formula＂ The celebrated Black-Scholes (B-S) option formula was invented twenty years ago. However, how to derive it step by step maybe not well known. T his paper fills vacancies left by Kutner (1988), who derives the B-S opt ion formula in a pedagogic way, but makes some mistakes and neglects several procedures in his derivation.