| 函数Vasicek利率模型下欧式买权定价的研究 |
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| 引用本文： | 王亚伟,黎锁平,江洪.函数Vasicek利率模型下欧式买权定价的研究[J].甘肃科学学报,2008,20(1):28-31. |
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| 作者姓名： | 王亚伟 黎锁平 江洪 |
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| 作者单位： | 兰州理工大学,运筹与控制研究所,甘肃,兰州,730050 |
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| 基金项目： | 兰州理工大学优秀中青年基金
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兰州理工大学博士启动基金 |
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| 摘 要： | 研究了在一个完备和连续的市场模型中，资产价格的运动过程服从对数正态分布，利率的运动过程为函数型Vasicek利率模型，利用Jto引理和Black—Scholes风险中性定价原则研究了标准欧式买权和卖权的定价问题．
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| 关 键 词： | 函数型Vasicek利率模型 Ito引理 欧式期权 |
| 文章编号： | 1004-0366(2008)01-0028-04 |
| 修稿时间： | 2006年8月31日 |
Study on European Contingent Claims under Vasicek Interest Rate Model with the Function Coefficients |
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| WANG Ya-wei,LI Suo-ping,JIANG Hong.Study on European Contingent Claims under Vasicek Interest Rate Model with the Function Coefficients[J].Journal of Gansu Sciences,2008,20(1):28-31. |
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| Authors: | WANG Ya-wei LI Suo-ping JIANG Hong |
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| Institution: | (Institute of Operations Research and Control,Lanzhou University of Science and Technology, Lanzhou 730050, China) |
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| Abstract: | The pricing formulas of European Call option and the put-call party relation in a completed and continuously marketed model are imtroduced and studied,in which the process of asset price is assumed to be Vasicek model with a fixed finction about time. By using lto formula and Black-Schole＇s risk-neutral valuation principle,the pricing of standard Etiropean contingent claims is studied. |
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| Keywords: | Vasicek interest rate model with the function coefficients lto Lemma European contingent claims |
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