| 随机利率下两种奇异期权的定价 |
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| 引用本文： | 王剑君,刘韶跃.随机利率下两种奇异期权的定价[J].湘潭大学自然科学学报,2006,28(2):23-27. |
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| 作者姓名： | 王剑君 刘韶跃 |
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| 作者单位： | 1. 湖南工程学院数理系,湖南,湘潭,411101;湘潭大学数学与计算科学学院,湖南,湘潭,411105
2. 湘潭大学数学与计算科学学院,湖南,湘潭,411105 |
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| 摘 要： | 假设利率是随机利率,在全面地考虑基础变量—债券和股票的价格行为特征的基础上,利用鞅方法推导了随机利率下两种奇异期权定价公式.
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| 关 键 词： | 随机利率 鞅方法 上限型权证 抵付型权证 |
| 文章编号： | 1000-5900（2006）02-0023-05 |
| 收稿时间： | 2005-07-09 |
| 修稿时间： | 2005年7月9日 |
Pricing of Two Kinds of Exotic Options under the Stochastic Interest Rates |
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| WANF Jian-jun,LIU Shao-yue.Pricing of Two Kinds of Exotic Options under the Stochastic Interest Rates[J].Natural Science Journal of Xiangtan University,2006,28(2):23-27. |
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| Authors: | WANF Jian-jun LIU Shao-yue |
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| Institution: | 1. Department pf Mathematics and Physics,Hunan Institute of Engineerning,Xiangtan 411201 China; 2. College of Mathematics and Computer Science,Xiangtan University,Xiangtan 411105 China |
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| Abstract: | Supposing that the interest rates is stochastic interest rates,this paper derives the pricing formulas of the two exotic options under the stochastic interest rates by applying the martingale method.We consider comprehensively the price action characters of the basic variables-bond and stock. |
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| Keywords: | stochastic interest rates martingale method Capped Calls Deductible Calls |
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