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.