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指数O-U过程模型下资产或零值期权的定价

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摘要 采用保险精算法和鞅方法,分析了在有效期内股票无红利支付情况下资产或零值期权的定价,得出了股票价格服从指数O-U过程的资产或零值期权保险精算定价与无套利定价,并证明了保险精算定价就是有套利的定价。
出处 《黄河水利职业技术学院学报》 2009年第3期52-54,共3页 Journal of Yellow River Conservancy Technical Institute
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