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Vasicek利率模型下欧式未定权益定价方法 被引量：2

Study on pricing of European contingent claims when the interest rate obeys the Vasicek model
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摘要 文章在利率服从Vasicek模型的假设条件下,对欧式未定权益的定价方法进行探讨。综合考虑到利率的动态变化性,在推导未定权益定价的方程时,对标的物价格,时间和利率3个变量同时进行求导,最后得到关于欧式未定权益定价的新的偏微分方程。 This paper deals with pricing of the European contingent claims when the interest rate obeys the Vasicek model. The dynamic variablity of the interest rate is considered synthetically in deducing the differential equation, and the derivative concerning time, the underlying goods＇ price and the interest rate is given, thus obtaining a new partial differential equation for European contingent claims.
作者 张燕 杜雪樵
机构地区 合肥工业大学理学院
出处 《合肥工业大学学报（自然科学版）》 CAS CSCD 北大核心 2007年第6期791-793,共3页 Journal of Hefei University of Technology：Natural Science
关键词 Vasicek利率 欧式未定权益 ITO公式 Black-Scole偏微分方程 Vasicek interest rate European contingent claim Ito formula Black-Scholes partial differential equation
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献9

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二级参考文献12

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共引文献12

同被引文献18

  • 1姚落根,王雄,杨向群.Vasicek利率模型下几何亚式期权的定价[J].湘潭大学自然科学学报,2004,26(3):20-23. 被引量：7
  • 2Black F, Scholes M. The pricing of options and corporate liablities[J]. Journal of Political Economy, 1973, 81 (3) : 637--654.
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  • 6Shreve S E. Stochastic calculus for finance: continuoustime models [M]. New York:Springer-Verlag, 2004: 198--210.
  • 7Musiela M, Rutkowski M. Martingale methods in financial modelling [M]. New York: Springer-Verlag, 2003:110--116.
  • 8Harrison J M, Pliska S R. Martingales and stochastic integrals in the theory of continuous trading[J]. Stochastic Process and Their Applications,1981,11(4) :215--260.
  • 9Lamberton D, Lapeyre B. Introdution to stochastic calculus applied to finance[M]. Chapman and Hall, 1996: 137--138.
  • 10Black F, Scholes M. The pricing of options and corporate liablities [J]. Journal of political Economy, 1973, 81:33-55.

引证文献2

二级引证文献12

合肥工业大学学报（自然科学版）
2007年 第6期

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