| 基于CIR利率模型下的期权定价 |
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| 引用本文： | 沈惟维,潘文亮.基于CIR利率模型下的期权定价[J].科学技术与工程,2010,10(5). |
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| 作者姓名： | 沈惟维 潘文亮 |
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| 作者单位： | 暨南大学经济学院,广州,510632 |
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| 摘 要： | 讨论了利率演化服从CIR模型时,以零息债券作为计价单位,利用远期测度的方法给出欧氏看涨期权的定价公式,并给出其一般性的证明。
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| 关 键 词： | CIR利率模型 风险中性定价公式 欧氏看涨期权 远期测度 |
| 收稿时间： | 2009/11/13 0:00:00 |
| 修稿时间： | 2009/11/24 0:00:00 |
Pricing European Options Based on CIR Interest Rates Model |
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| shenweiwei and panwenliang.Pricing European Options Based on CIR Interest Rates Model[J].Science Technology and Engineering,2010,10(5). |
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| Authors: | shenweiwei and panwenliang |
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| Institution: | Statistics ofJinan University/a>;Guangzhou 510632/a>;P.R.China |
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| Abstract: | The pricing of European options is discussed when the evolution of interest rate under CIR model.Through zero-coupon bonds as numeraire and by the use of the forward measure,The European call options pricing formula and its general proof are got. |
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| Keywords: | CIR interest rates model risk-neutral pricing formula european call options forward measure |
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