具有随机寿命的局部支付型权证的定价

Pricing of Payoff Segment Calls with Stochastic Lives

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局部支付型权证的定价问题,得到了相应的定价公式.

In this paper, we suppose the risk of the contract that may be terminated is not the risk of the system, by means of martingale methods and the pricing formula of European contingent claim with stochastic lives, the pricing problem of Payoff Segment Calls with stochastic lives is discussed which the underlying asset follows the Melton models and the corresponding pricing formulas are obtained.