摘要
本文假定借款利率大于或等于无风险利率 ,并在股票的期望收益率、波动率和红利率都随时间变化情形下 ,建立较合理的金融市场模型。利用倒向随机微分方程及Feynman Kac公式 ,得到了欧式看涨和看跌期权买卖双方的价格公式以及套期保值策略 ,从而可看出借贷利率各自对期权价格的影响 .
Assuming borrow-lending interest rate is different, Multi-dimensional model with non-constant coefficients on financial market is established in this paper, The pricing formula and hedging strategy of European option are obtained by back-ward stochastic different equation and Feynman-Kac formula. From this result, it is obvious that how do borrow-lending interest rate affect on price of option.
出处
《应用数学》
CSCD
北大核心
2001年第S1期30-35,共6页
Mathematica Applicata
基金
陕西省教育厅专项基金项目 (0 1KJ137)
