| 可延期交付的附息票债券期权定价 |
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| 引用本文： | 徐根新.可延期交付的附息票债券期权定价[J].同济大学学报(自然科学版),2006,34(6):836-839. |
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| 作者姓名： | 徐根新 |
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| 作者单位： | 同济大学,应用数学系,上海,200092 |
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| 基金项目： | 国家高技术研究发展计划(863计划) |
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| 摘 要： | 采用赫尔-怀特（Hull-White）短期利率模型，利用偏微分方程基本解方法，分别就标准型和资产交付日滞后于期权到期日类型的欧式附息票债券期权给出定价公式．
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| 关 键 词： | 赫尔-怀特模型 附息票债券 欧式期权 延期交付 基本解 |
| 文章编号： | 0253-374X（2006）06-0836-04 |
| 收稿时间： | 12 13 2004 12:00AM |
| 修稿时间： | 2004-12-13 |
Explicit Formula of Coupon-Bearing Bond Option with Delay in Delivery |
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| XU Genxin.Explicit Formula of Coupon-Bearing Bond Option with Delay in Delivery[J].Journal of Tongji University(Natural Science),2006,34(6):836-839. |
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| Authors: | XU Genxin |
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| Institution: | Department of Applied Mathematics, Tongji University, Shanghai 200092, China |
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| Abstract: | The pricing of coupon-bearing bond option with delay in delivery is discussed, where the fundamental solution of partial differential equation is adopted and an explicit pricing formula of European option based on Hull-Whlte model of short interest rate is exhibited. |
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| Keywords: | Hull-White model coupon-bearing bond European option delay in delivery fundamental solution |
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