| 在随机利率情形下有红利支付的股票未定权益定价 |
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| 引用本文： | 薛红.在随机利率情形下有红利支付的股票未定权益定价[J].西安工程科技学院学报,2000,14(1):57-61. |
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| 作者姓名： | 薛红 |
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| 作者单位： | 西安交通大学理学院!陕西西安710049 |
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| 基金项目： | 西北纺织工学院科学研究计划项目!(ZD990 80 2 ) |
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| 摘 要： | 在随机利率情形下 ,讨论了有红利支付的股票未定权益定价问题 .首先利用鞅方法给出欧式未定权益一般定价公式 ,并得到欧式买权、卖权价格的解析表达式及平价关系 ,推广了一般 Black- Scholes模型及 Merton模型的结果 ;其次利用 Ito公式给出欧式未定权益价格应满足的偏微分方程和套期保值策略 ;最后给出了欧式期权价格的灵敏度分析 .
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| 关 键 词： | 鞅方法 Ito公式 未定权益 欧式期权 |
| 修稿时间： | 1999-07-09 |
Pricing of contingent claim on dividend-paying stock under stochastic interest rate |
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| XUE Hong.Pricing of contingent claim on dividend-paying stock under stochastic interest rate[J].Journal of Xi an University of Engineering Science and Technology,2000,14(1):57-61. |
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| Authors: | XUE Hong |
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| Abstract: | Under stochastic interest rate,the pricing problem on contingent claim on dividend paying stock was discussed.First,making use of martingale method,pricing formula on European contingent claim,price of call and put option were obtained;Then the partial differential equation which price of European contingent claim satisfgied was deal with and hedging strategy for option was obtained .The sensitivity analysis was given. |
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| Keywords: | martingale method Ito formula contingent claim European option |
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