随机利率下产量保险定价

THE QUANTITY INSURANCE PRICING MODEL UNDER THE STOCHASTIC INTEREST RATE

通过假设利率的随机过程遵循Heath-Jarrow-Morton(1992)模型,以及利率波动结构和价格波动结构仅为时间的函数,扩展了Kunt K.Aaese(2004)产量保险模型,并借助多元正态分布函数得到其显示表达式.

This paper presents the valuation of future yield put option under a stochastic interest rate of Heath - Jarrow - Morton（1992） framework. With the use of the assumption of the volatility of the forward interest rate and price progress is a deterministic function of time, Kunt K. Aaese（2004） quantity contract model has been extended. Moreover, this paper get the expression by multivariable normal distribution.