Under the market conditions supposed in Black-Scholes model and assumption that an investment object is a European call option,in this paper an investment-consumption problem is investigated. A utility maximization model is constructed.

• 本文在Black-Scholes模型假设的市场条件下,假定投资者的投资对象中含有一个欧式看涨期权,讨论了在该情形下投资者如何进行投资和消费的问题。