抄録
We suggest expansion methodology for Black-Scholes equation in financial engineering field with hydrodynamics interpretation. Black-Scholes equation is famous for derivative pricing model, introducing from Ito’s process in theory of probability, and it is applying in financial area widely. Because of Black-Scholes equation based on ideal assumption, financial engineers have been devising parameters or have been creating parameter structure in the equation in order to explain financial market dynamics. They mainly have focused on diffusion term in stochastic process that is recognized as volatility on their studies. We apply the concept of advection term for financial market, and expand Black-Scholes equation. Obtaining equation can express market dynamics simply and explain derivative market distortion, volatility smile.
