| 随机利率下的利差期权定价公式 |
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| 引用本文： | 傅毅,张寄洲.随机利率下的利差期权定价公式[J].上海师范大学学报(自然科学版),2007,36(4):11-15. |
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| 作者姓名： | 傅毅 张寄洲 |
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| 作者单位： | 上海师范大学,数理信息学院,上海,200234 |
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| 基金项目： | 上海市教委高校科学发展基金;上海市学科科研项目 |
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| 摘 要： | 讨论了一种在随机利率下的利差期权定价问题．假设市场利率服从Vasicek模型，在此基础上利用对冲原理和Ito公式建立了数学模型，并利用PDE方法，得到了多维利差期权的解析表达式．
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| 关 键 词： | 利差期权 随机利率 零息票 |
| 文章编号： | 1000-5137（2007）04-0011-05 |
| 修稿时间： | 2007-03-20 |
Pricing of outer performance option for interest randomness |
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| FU Yi,ZHANG Ji-zhou.Pricing of outer performance option for interest randomness[J].Journal of Shanghai Normal University(Natural Sciences),2007,36(4):11-15. |
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| Authors: | FU Yi ZHANG Ji-zhou |
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| Institution: | College of Mathematics and Sciences, Shanghai Normal University, Shanghai 200234, China |
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| Abstract: | We deal with the pricing of outer performance option for interest randomness. Suppose that the market interest rate obeys the general Vasicek model. Then the pricing model is established by using hedging principle and the Its3 formula. By the method of PDE, the closed form solution of the multi-dimension outer performance option formula is obtained. |
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| Keywords: | outer performance option stochastic interest rate zero-coupon |
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