| 随机利率模型下欧式极值期权的定价 |
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| 引用本文： | 姚落根,胡桔州,刘平兵. 随机利率模型下欧式极值期权的定价[J]. 湖南文理学院学报(自然科学版), 2005, 17(4): 6-8,11 |
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| 作者姓名： | 姚落根 胡桔州 刘平兵 |
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| 作者单位： | 湖南商学院,信息系,湖南,长沙,410205;湖南财经高等专科学校,基础课部,湖南,长沙,410205 |
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| 摘 要： | 在资产价格服从对数正态分布、利率为Vasicek模型,且所有参数均为确定性函数的假设下,分别以债券和资产折现,利用测度变换得到了欧式极值期权的显示表达式.利用这种方法,避免了对随机利率复杂的计算.
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| 关 键 词： | 随机利率 风险中性概率 极值期权 |
| 文章编号： | 1672-6146（2005）04-0006-03 |
| 收稿时间： | 2005-09-08 |
| 修稿时间： | 2005-09-08 |
Pricing European Options on the Extremum of Several Risky Assets Under Stochastic Interest Rate |
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| YAO Luo-gen,HU Ju-zhou,LIU Ping-bing. Pricing European Options on the Extremum of Several Risky Assets Under Stochastic Interest Rate[J]. Journal of Hunan University of Arts and Science:Natural Science Edition, 2005, 17(4): 6-8,11 |
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| Authors: | YAO Luo-gen HU Ju-zhou LIU Ping-bing |
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| Abstract: | Using bonds and assets as numeraires respectively and changes of probability measures, this paper derives the price formulas of European options on the extremum of several risky assets under the assumptions that assets prices follow the lognormal distributions, that interest rate follows Vasicek model, and that all parameters are deterministic functions. In this way, the calculations of stochastic interest rate is avoided. |
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| Keywords: | Stochastic Interest Rate Risk-neutralMeasure Extremum Options |
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