| 借贷利率不同情形下具有变系数和红利的未定权益定价 |
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| 引用本文： | 卢俊香,朱晓杰,赵玉荣. 借贷利率不同情形下具有变系数和红利的未定权益定价[J]. 烟台大学学报(自然科学与工程版), 2006, 19(2): 93-97 |
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| 作者姓名： | 卢俊香 朱晓杰 赵玉荣 |
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| 作者单位： | 1. 西安交通大学,理学院,陕西,西安,710049
2. 牡丹江师范学院,数学系,黑龙江,牡丹江,157012 |
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| 摘 要： | 在借贷利率不同情形下，首先利用It↑^o公式得到具有变系数和红利的未定权益价格应满足的偏微分方程，其次利用Feynman-kac公式得到欧式未定权益的一般定价公式及套期保值策略，然后，在具体金融市场，对远期合约、养老金合约以及欧式看涨、看跌期权进行定价，并给出套期保值策略，从而看出借贷利率对未定权益价格的影响．最后给出了欧式看涨期权价格灵敏度的分析．
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| 关 键 词： | I(t)o公式 Feynman-kac公式 未定权益 |
| 文章编号： | 1004-8820（2006）02-0093-05 |
| 收稿时间： | 2005-03-20 |
| 修稿时间： | 2005-03-20 |
Pricing of Contingent Claim with Non-Constant Coefficients under Different Borrowing-Lending Rate |
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| LU Jun-xiang,ZHU Xiao-jie,ZHAO Yu-rong. Pricing of Contingent Claim with Non-Constant Coefficients under Different Borrowing-Lending Rate[J]. Journal of Yantai University(Natural Science and Engineering edirion), 2006, 19(2): 93-97 |
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| Authors: | LU Jun-xiang ZHU Xiao-jie ZHAO Yu-rong |
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| Abstract: | Under different borrowing-lending rate,in this paper,using Io formula the partial differential equation described by price of contingent claim with non-constant coefficients is oblained first.Then by means of Feynman-Kac formula,the general pricing formula and hedging strategy of contingent claim are gotten.In the particular financial market,the pricing formulas and hedging strategies of forward contract,pension contract,European call and put option are described.So it is noticed that Borrowing-lending rate affect price of contingent claim.At last,sensitivity of contingent claim is considered. |
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| Keywords: | formula Feynman-Kac formula contingent claim |
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