原来的

能否解释一下？谢谢

Ok, for BS model, if you want to get the PDE, you have to form a self financing portfolio using a option, a stock and a bond.

The bond( strictly: Money Market Account) follows the process dB=rBdt and the stock follows the well-known GBM ds=muSdt+sigmaSdw.

You see that dB=rBdt is an ODE whose solution is just B(0)exp(rt) which is the same as using continuously compounding rate.

For continuous time models, we all use continuous compounding rates.

This homework is just let you to strictly go over the derivation of the BS model. Continuously compouding is not a new condition but some thing that does not want to cause any confusion. You can just ignore it.

best,

got it.  thanks very much!

人家推导的时候，无风险债券本来就是以连续复利算的。