| 具有随机寿命的多维Black-Scholes定价模型 |
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| 引用本文： | 薛红.具有随机寿命的多维Black-Scholes定价模型[J].系统工程理论与实践,2004,24(8):44-48. |
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| 作者姓名： | 薛红 |
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| 作者单位： | 西安工程科技学院理学院 |
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| 基金项目： | 陕西省教育厅自然科学专项基金(01JK137) |
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| 摘 要： | 利用随机微分方程和鞅方法,给出了具有随机寿命的多维Black-Scholes定价模型,并获得随机寿命情形下欧式期权及其它未定权益定价的解析表达式.将Black-Scholes定价模型进行了更为合理地推广.
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| 关 键 词： | 随机微分方程 鞅方法 Black-Scholes定价模型 未定权益 |
| 文章编号： | 1000-6788(2004)08-0044-05 |
| 修稿时间： | 2003年4月26日 |
Multi-dimensional Black-Scholes Pricing Model with Stochastic Lives |
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| XUE Hong.Multi-dimensional Black-Scholes Pricing Model with Stochastic Lives[J].Systems Engineering —Theory & Practice,2004,24(8):44-48. |
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| Authors: | XUE Hong |
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| Institution: | Science College, Xi'an University of Engineering Science & Technology |
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| Abstract: | By means of stochastic different equation and martingale methods, we deal with Multi-dimensional Black-Scholes Pricing Model with stochastic lives. Then, the pricing formula of Europe option and other contingent claim are obtained. Finally, we generalize Black-Scholes Pricing Model. |
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| Keywords: | stochastic different equation martingale method Black-Scholes pricing model contingent claim |
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