/

1997 Robert C. Merton2002 Quantitative Finance Alexander

Lipton-Lifschitz Paul Wilmott
Geometric Brownian motion
Brownian motion
Black-Scholes-Merton Schrdinger equation

Geometric Brownian motion

Brownian motion

Girsanovs Brownian motion drift

Martingale Representation Theorem

Radon-Nikodym

derivative Martingale Measure

path-integral

1997

Robert C. Merton2002 Quantitative Finance

Alexander Lipton-Lifschitz

Paul Wilmott

Brownian motion

Robert C. Merton

2005 12
795

 1966 1967

Merton

John Chu

Paul Wilmott

Merton (

Newtonian

) Paul

Navier-Stokes

Samuelson 1970

Merton Myron Scholes (

Fischer Black)

Black-Scholes-Merton Option Pricing Model

Merton ,

(The Royal Swedish Academy of Sciences)

25

Derivatives-The

theory and

practice

of

financial

engineering.

Alexander Lipton-Lifschitz

Applied

(the

Mathematical Finance

Earths magnetohydrodynamic) (the

Paul Wilmott

physics of charged plasmas)

(The Russian Academy of Science)

1989

Lipton

Robert Brown 1827

(Self-Similarity Technique)

(Asia Options)(Lookback Options)

Brownian motionAlbert Einstein

(Risk

Magazine) 2000

Lipton Quantitative Finance

2005 12
796

 1900 Bachelier

F = V ( S ,t ) S
V
V
V
1
dF =
dt+
dS+ S
d t dS
t
S
2
S
2

(Continuous-Time Finance) W

1
V
V
V
dF =
dt+ S
dt
2
S
t
S
2

* =

W dW
dW 0

* (Delta Hedging

dt

Ratio) F

Delta Hedging

(Heat Partial Differential Equation)

V S

Belousov-Zhabotinsky

Hodgkin-Huxley

V 1
V
V
+ S
+ rS
rF = 0
t 2
S
S
2

dF = rF dt

u u
=
t x
2

Black-Scholes-Merton

u x spatial coordinate t

Schrdinger

equation-

-(reaction-convection-diffusion)

V S

Black-Scholes-Merton

geometric Brownian motion

diffusion

d S = S dt + S dW

V 1
V
+ S
t 2
S
2

dS
W Wiener process

S S

V = V(S,t) Itos Lemma

(Non-homogeneity) V S

V
V
1
V
dV =
dt+
dS+ S
dt
t
S
2
S
2

convection

V S

rS

V
S

2005 12
797

Mehra and Prescoot (1985)

- (reaction-convection-diffusion)

Black-Scholes-Merton

Black-Scholes-Merton

Black-Scholes-Merton

Itos Lemma

(1)

1932

(2)

Werner Heisenberg

1927

(3) Black-Scholes-Merton

volatility smiles
(4)

Black-Scholes-Merton

Robert C. Merton 1975

Vasicek(1977)Langetieg(1980)

Longstaff and Schwarts (1992)Hull

and White (1990)

Cox, Ross and Huang (1989)

2005 12

798

Karatzas,

Lehoczky

(1986,1987,1990)

and

Shreve

P( 0 ) = K exp( r T ) N( d ) S( 0 ) N( d )
2

Martingale

Representation

d =

ln(

S( 0 )
1
) + ( r + ) T
K
2
T
2

d = d T

Barberis (1999) Cambell

and Viceira(2000)

Bellman

Binomial or Trinomial Tree

Method

Finite Difference Method

Monte Carlo Simulation

Method

Dixit and Pindyck (1994) Amram and Kulatilaka

(1999)

Nalin Kulatilaka

VST
S 0 ,...., S T

VT

(C)

r() =

Max(0,S(T)-K). C(T) = Max(0,S(T)-K)

Black-Scholes-Merton

f ( S ,....,S )]
V = e E[
rT

d1 =

C( 0 ) = S( 0 ) N( d1 ) K exp( r T ) N( d 2 )
ln(

= f ( S 0 ,...., S T ) f ()

S( 0 )
1
) + ( r + 2 ) T
2
K
T

dS
= dt + dW
S

d 2 = d1 T
(P) Max(0,K-S(T)).

W Ito's Lemma

P(T) = Max(0,K-S(T))

Black-Scholes-Merton

) dt + dW
2
2

d ln S = (

ln S t T

2005 12

799

 B 10% 6%

2
ln S T ln S t ~ N [(
)( T t ), T-t ]
2

C, 80%
100% 4%

ln ST ln St ( 2 )(T t )

D ,60%

80% 2%

T-t
r
Risk-Neutral Valuation

E ,

60%

)( T t ), T-t ]
2
2

ln S ~ N [ln S + ( r
T

T ST

( A)

S = S exp[( r )( T t ) + T t ]
2
2

100% 6%

0 1

N tT/N

102%

132%

106%

( C & D)

0t2t....T

VT = f ( S0 ,....,ST )

1
2
3
4

Simulation Trial

85%
62%
82%
91%

98%
91%
106%
102%

4%
2%
4%
104%

100,000
100,000

( E)

100%

f ( S ,....,S )]
V0 = e E[
0
T
rT

100,000

1
2
3
4

42%
58%
52%
49%

92%
99%
102%
91%

0%
0%
0%
100%

( B)

90% 6%

67%

6%

2005 12

800

86%

106%

(Bloomberg FWCV)

4.27%

4.308%

4.34%

4.357%

330
HK

24.0

0%

494
HK

17H
K

12H
K

4H
K

1H
K

8H
K

13H
K

27.0
0%

16.0
0%

19.0
0%

16.0
0%

17.0
0%

18.0
0%

29.0
0%

Amram M. and N. Kulatilaka, "Real Options: Managing

10,000

Strategic Investment in an Uncertain World,"

Harvard Business School Press.

Barberis, N., 1999, "Investing for the Long Run When

Returns are Predictable," Working paper, University

of Chicago.

100%

Black, F. and M. Scholes, 1973, "The Pricing of Options

1 .8 %

and Corporate Liabilities," Journal of Political

0.2%4=0.8%

9 8 .2 %

Economics, 81, 637-659.

Broadie, M., and P. Glasserman, 1997, "Pricing
American-Style

Securities

Using

Simulation,"

Journal of Economic Dynamics and Control, 21,

8-9, 1323-1352.

Campbell, J. Y., and L. Viceira, 1999, "Consumption and

Portfolio Decisions When Expected Returns are

Time Varying," Quarterly Journal of Economics,

114, 433495.

Chung, S. L., and C. W. Ho, 2000, "Pricing American

Options Using Monte Carlo Simulation," Working

paper, National Central University, Taiwan.

2005 12

801

Cox, J., S. Ross and C.F. Huang, 1989, "Optimal

Sundaresan, S. M., "Continuous-Time Methods in

Consumption and Portfolio Policies When Asset

Finance: A Review and an Assessment," Journal of

Prices Follow a Diffusion Process," Journal of

Finance 55, 15691622.

Economic Theory, 49 33-83.

Vasicek, O., 1977, "An Equilibrium Characterization of

Dixit, A., and R. Pindyck, 1994, "Investment under

the

Uncertainty," Princeton University Press, Princeton,

Term

Structure,"

Journal

of

Financial

Economics 5, 177188.

N.J.

Wilmott, P., 1998, "Derivatives: The Theory and

Hull, J. C., 2003, "Options, Futures, and Other

Practice of Financial Engineering," John Wiley &

Derivative Securities," 6th edition, Prentice Hall.

Sons.
66

Hull, J. C., and A. White, 1990, "Pricing Interest rate

66

Derivative Securities," Review of Financial Studies

3, 573592.

66

Karatzas, I., J. P. Lehoczky, S. P. Sethi, and S. E. Shreve,

1986, "Explicit Solutions of a General Consumption
Investment Problem," Mathematics of Operations
Research 11, 261294.

Karatzas, I., J. P. Lehoczky, and S. E. Shreve, 1987,

"Optimal Portfolio and Consumption Decisions for

a Small Investor on a Finite Horizon," SIAM

Journal

of

Control

and

Optimization

25,

11571186.

Karatzas, I., J. P. Lehoczky, and S. E. Shreve, 1990,

"Existence

and

Uniqueness

of

Multiagent

E-mail: wlin@mail.tku.edu.tw

Equilibrium in a Stochastic, Dynamic Consumption

Investment Model," Mathematics of Operations

Research, 15, 80128.

Langetieg, T. C., 1980, "A Multivariate Model of the

Term Structure," Journal of Finance 35, 7197.

Longstaff, F., and E. Schwartz, 1992, "Interest Rate

Volatility and the Term Structure: A Two-Factor

(CFA)(CPA)

General Equilibrium Model," Journal of Finance 47,

12591282.
Mehra, R., and E. Prescott, 1985 "The Equity Premium:
A Puzzle," Journal of Monetary Economics 15,
145161.
Merton, R. C., 1990, "Continuous-Time Finance,"
Oxford University Press, New York.

2005 12

802