|
|||||
|
|
| 在随机利率条件下连续履约价期权的定价 | |
| 引用本文： | 李淑锦,李胜宏,谷兰俊.在随机利率条件下连续履约价期权的定价[J].山西大学学报(自然科学版),2006,29(2):134-138. |
| 作者姓名： | 李淑锦 李胜宏 谷兰俊 |
| 作者单位： | 1. 浙江大学,数学系,杭州,310027;江苏技术师范学院,常州,213015 2. 浙江大学,数学系,杭州,310027 3. 江苏技术师范学院,常州,213015 |
| 基金项目： | 江苏省高校自然科学基金 |
| 摘 要： | 讨论连续履约价期权、连续履约价限界期权的定价.在完备市场中,在一个单因素的H JM框架之下,利用鞅方法,获得了这两类看涨期权的精确的定价公式.最后用数值化的结果讨论了股票价格与利率的相关程度对连续履约价买权的影响. |
| 关 键 词： | 连续履约价期权 连续履约价限界期权 随机利率 |
| 文章编号： | 0253-2395(2006)02-0134-05 |
| 收稿时间： | 2005-07-15 |
| 修稿时间： | 2005-09-23 |
The Valuation of Continuous Strike Options under Stochastic Interest Rates |
|
| LI Shu-jin,LI Sheng-hong,GU Lan-jun.The Valuation of Continuous Strike Options under Stochastic Interest Rates[J].Journal of Shanxi University (Natural Science Edition),2006,29(2):134-138. | |
| Authors: | LI Shu-jin LI Sheng-hong GU Lan-jun |
| Abstract: | The continuous strike call options,and the strike range call options were discussed.Under a single-factor HJM framework,these closeform solutions of call options were obtained by martingale method in a complete market.The effect of correlation between stock price and interest rates on the call continuous strike options was analysed by numerical result. |
| Keywords: | continuous strike options continuous strike range options stochastic interest rate |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |