| 变利率情形下的连续Ohlson模型 |
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| 引用本文： | 郑峰,徐婕.变利率情形下的连续Ohlson模型[J].复旦学报(自然科学版),2009,48(2). |
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| 作者姓名： | 郑峰 徐婕 |
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| 作者单位： | 郑峰,ZHENG Feng(复旦大学数学科学学院,上海,200433);徐婕,XU Jie(复旦大学世界经济研究所,上海,200433)
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| 基金项目： | 复旦大学(教育部)金融创新研究生开放实验室创新项目资助项目，复旦大学研究生创新基金 |
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| 摘 要： | 在现代投资理论中,Ohlson系列模型是最重要的代表,但通常用的Ohlson模型是离散形式的.在连续变利率假设情况下,考虑了无随机扰动和有随机扰动2种情况,得到了变利率情形下的连续Ohlson模型.
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| 关 键 词： | Ohlson模型 连续变利率 随机模型 |
Continuous Ohlson Model with Changing Interest Rates |
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| ZHENG Feng,XU Jie.Continuous Ohlson Model with Changing Interest Rates[J].Journal of Fudan University(Natural Science),2009,48(2). |
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| Authors: | ZHENG Feng XU Jie |
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| Institution: | 1.School of Mathematical Sciences;Fudan University;Shanghai 200433;China;2.Institute of World Economy;China |
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| Abstract: | The serial models proposed by Ohslon are the most important part in the modern investment theory.All the Ohlson's models are of discrete version.The changing interest rates are assumed continuous,and the Ohlson's models are extended to the continued stochastic model.Both cases of without perturbations and with perturbations in the models are considered. |
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| Keywords: | Ohlson model changing interest rate stochastic model |
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