| 风险中性分析及其在衍生证券定价中的应用 |
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| 引用本文： | 陈道平.风险中性分析及其在衍生证券定价中的应用[J].重庆三峡学院学报,2006,22(3):36-38. |
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| 作者姓名： | 陈道平 |
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| 作者单位： | 重庆大学经济与工商管理学院,重庆,400044;重庆师范大学数学与计算机科学学院,重庆,400047 |
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| 摘 要： | 本文对散见于各文献中的风险中性假设和风险中性概率进行了系统化的分析,归纳出用风险中性假设和风险中性概率对衍生证券进行定价的三个一般步骤,并举例对此进行了应用,这些分析对研究衍生证券定价的研究者具有一定的参考价值。
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| 关 键 词： | 风险中性 远期合约 期权 标的资产 |
| 文章编号： | 1009-8135（2006）03-0036-03 |
| 收稿时间： | 2005-12-07 |
| 修稿时间： | 2005年12月7日 |
Risk-Neutral Analysis and Its Application in Pricing on Derivative Securities |
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| CHEN Dao-ping.Risk-Neutral Analysis and Its Application in Pricing on Derivative Securities[J].JOurnal of Chongqing Three Gorges University,2006,22(3):36-38. |
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| Authors: | CHEN Dao-ping |
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| Abstract: | In this paper,a systematic analysis is done on risk-neutral hypothesis and risk-neutral probability which are scatteredly in various literature,and then three general steps of pricing on derivative securities by employing risk-neutral hypothesis and risk-neutral probability are obtained and some examples are given for illustrating three general steps,which can provide references for researchers of researching price of derivative securities. |
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| Keywords: | risk neutrality forward contract option underlying asset |
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