摘要
假设合约被终止的风险为非系统风险,利用鞅方法和具有随机寿命的欧式未定权益的定价公式,讨论了标的资产服从Merton模型具有随机寿命的2种奇异期权的定价问题,得到了相应的定价公式。
By supposing that the risk the contract may he terminated is not the risk of the system and using martingale methods and the pricing formula of the European contingent claim with stochastic lives, the pricing problem of two kinds of exotic options with stochastic lives is discussed, in which the underlying asset follows the Merton models. The corresponding pricing formulas are obtained.
出处
《合肥工业大学学报（自然科学版）》
CAS
CSCD
北大核心
2008年第5期832-834,共3页
Journal of Hefei University of Technology：Natural Science
关键词
鞅方法
随机寿命
上限型权证
抵付型权证
martingale method
stochastic life
capped call
deductible call
