| 借贷利率不同情形下具有随机寿命的未定权益定价 |
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| 引用本文： | 薛红,聂赞坎.借贷利率不同情形下具有随机寿命的未定权益定价[J].系统工程理论与实践,2001,21(2):43-46. |
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| 作者姓名： | 薛红 聂赞坎 |
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| 作者单位： | 西安交通大学理学院 |
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| 摘 要： | 在借贷利率不同情形下 ,首先得到随机寿命的未定权益价格应满足的偏微分方程 ;其次对具有随机寿命的远期合约、实施股票期权、养老金合同以及欧式看涨、看跌期权进行定价 ,并给出套期保值策略 ,从而看出借贷利率对随机寿命未定权益价格的影响.
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| 关 键 词： | 随机寿命 Ito公式 Feynman-Kac公式 未定权益 |
| 文章编号： | 1000-6788(2001)02-0043-04 |
| 修稿时间： | 1999年6月28日 |
Pricing of Contingent
Claim with Stochastic Live under Different Borrowing-Lending Rate |
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| XUE Hong,NIE Zan-kan.Pricing of Contingent
Claim with Stochastic Live under Different Borrowing-Lending Rate[J].Systems Engineering —Theory & Practice,2001,21(2):43-46. |
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| Authors: | XUE Hong NIE Zan-kan |
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| Institution: | Science College of Xi'an Jiaotong University |
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| Abstract: | In this paper we first obtain a partial differential equation described by price of contingent claim when borrowing rate is not equal to lending rate. Then we price forward contract with stochastic life, executive stock option, pension contract, European call and put option with stochastic lives. And hedging strategy is given. So we notice that how borrowing-lending rate affect price of contingent claim with stochastic lives. |
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| Keywords: | stochastic life ito formula feynman\|kac formula contingent claim |
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