| 服从连续扩散过程的脆弱欧式看涨期权股价的风险度量 |
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| 引用本文： | 胡素敏,胡电喜.服从连续扩散过程的脆弱欧式看涨期权股价的风险度量[J].新乡学院学报(自然科学版),2011(4):303-305,310. |
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| 作者姓名： | 胡素敏 胡电喜 |
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| 作者单位： | 河南城建学院数理系;玉溪师范学院商学院 |
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| 摘 要： | 在股票价格、公司价值均服从连续扩散过程且公司负债为常数的情形下，给出了标的资产价格服从连续扩散过程的脆弱欧式看涨期权的VaR和CvaR的计算公式。
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| 关 键 词： | 标的资产 连续扩散过程 期权 VaR CVaR |
Risk Measurement of Vulnerable European Call Options with Stock Price Following Continuous Diffusion Process |
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| Authors: | HU Su-min HU Dian-xi |
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| Institution: | 2(Department of Mathematics and Physics,Henan University of Urban Construction,Pingdingshan 467044,China; 2.College of commerce,Yuxi Normal University,Yuxi 653100,China) |
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| Abstract: | On condition that stock price and company value are subject to continuous-diffusion process and that company＇s liabilities are constant, VaR and CVaR calculation formulas of Vulnerable European stock option are given in this paper. |
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| Keywords: | underlying asset continuous-diffusion process option VaR CVaR |
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