随机利率下两种奇异期权的定价

Pricing of Two Kinds of Exotic Options under the Stochastic Interest Rates

假设利率是随机利率,在全面地考虑基础变量—债券和股票的价格行为特征的基础上,利用鞅方法推导了随机利率下两种奇异期权定价公式.

Supposing thai the interest rates is stochastic interest rates, this paper derives the pricing formulas of the two cxotic options under the stochastic interest rates by applying the martingale method. We consider comprehensively the price action characters of the basic variables - bond and stock.