摘要
在无风险利率、指数连续股利率、指数瞬时波动率为时间t的非随机函数的情形下,以鞅论和随机分析为数学工具得到了重设型牛市认购权证的定价公式.更正了[1]中重设型熊市认售权证定价公式的一个小错,并对其定价公式进行了推广.
Under condition that the interest rate of the riskless asset, the volatility rate and the dividend rate of stock index are nonrandom functions of time, the pricing formula of bull market reset call warrants is obtained by using Martingale and stochastic analysis methods. Furthermore, a mistake of the pricing formula of bear market reset put warrants in [1] is corrected and the pricing formula is extended.
出处
《湖南师范大学自然科学学报》
EI
CAS
北大核心
2004年第4期13-17,26,共6页
Journal of Natural Science of Hunan Normal University
基金
国家自然科学基金资助项目(10071019)
