| 随机利率和跳-扩散过程下具有随机寿命的未定权益定价 |
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| 引用本文： | 李蕊.随机利率和跳-扩散过程下具有随机寿命的未定权益定价[J].兰州理工大学学报,2011(4):169-172. |
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| 作者姓名： | 李蕊 |
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| 作者单位： | 青海大学成人教育学院; |
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| 摘 要： | 在利率服从Hull-White-Vasicek利率模型、风险资产服从跳-扩散过程的假设下,建立具有随机寿命的欧式未定权益定价模型.对具有随机寿命的养老金合约、保险合同、股票期权、远期合约和可转换债券等欧式未定权益进行定价,得到具体的欧式未定权益定价公式.
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| 关 键 词： | 跳-扩散过程 随机寿命 未定权益 随机利率 |
Contingent claims pricing with stochastic life in random interest rate and jump-diffusion process |
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| LI Rui.Contingent claims pricing with stochastic life in random interest rate and jump-diffusion process[J].Journal of Lanzhou University of Technology,2011(4):169-172. |
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| Authors: | LI Rui |
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| Institution: | LI Rui(School of Adult Education,Qinghai University,Xining 810001,China) |
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| Abstract: | European contingent claims pricing model with stochastic life was established if the interest rate would obey the Hull-White-Vasicek model and the risk assets would follow the jump-diffusion process.Several European contingent claims such as pension contract,insurance contract,stock option,forward contracts,convertible bond,which were with stochastic life,were priced and the pricing formula of concrete Europian contingent claims was obtained. |
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| Keywords: | jump-diffusion process stochastic life contingent claim stochastic interest rate |
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