摘要
讨论连续敲定价债券期货看涨期权、连续敲定价限界债券期货看涨期权的定价.在HJM框架下,利用远期鞅测度方法,给出这两类看涨期权的定价公式.
Pricing the continuous strike bond futures call options and the continuous strike range bond futures call options were discussed in this paper.Under HJM framework,the forward martingale measure method was applied to express pricing formula for these two call options.
出处
《成都大学学报（自然科学版）》
2010年第2期172-175,共4页
Journal of Chengdu University（Natural Science Edition）
关键词
连续敲定价
债券期货期权
远期鞅测度
continues strike
bond futures options
forward martingale measure
