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高利率借款市场中未定权益的定价 被引量：1

PRICING OF CONTIGENT CLAIM IN A MARKET WITH HIGHER RATE FOR BORROWING
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摘要 本文指出在高利率借款市场中存在可行的保值策略，买方价大于卖方价。 We prove that there exists a feasible hedging strategy for any positive contigent claim in a market with higher interest rate for borrowing, and the selling price is higher than the purchasing price in the market. Our work is based on the results of KAROUI and PENG(1997).
作者 李顺
机构地区 武汉大学
出处 《数学杂志》 CSCD 1999年第2期190-194,共5页 Journal of Mathematics
关键词 随机微分方程 定价 套期保值 借款市场 利率 backward stochastic differential equation pricing and hedging selling price purchasing price
分类号 F830.55 [经济管理—金融学] O211.63 [理学—概率论与数理统计]
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参考文献1

  • 1Pardoux E，Syst Contr Lett，1990年，14卷，55页

同被引文献11

  • 1Lesigne E, Volny D. Large deviations for martingales[J]. Stoch. Proc. Appl., 2001, 96(1): 143-159.
  • 2Li Y L. A martingale in equality and large deviations[J]. Statistic Probably Letter, 2003, 62(5): 317-321.
  • 3Hu S H, Wang X J. Large deviations for some dependent sequences[J]. Acta Mathematical Sciatica, 2008, 28(1): 295-300.
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  • 5Cox J C, Ross S A, Rubinstein M. Option pricing:a simplified approach[J]. Finance Economics, 1979, 7 (3): 229-263.
  • 6Su Y L , Lin T I, Lee C F. Constant elasticity of variance(CEV) option pricing model:integration and detailed derivation[J]. Mathematics and Coputers in Simulation, 2008, 79(1): 60-70.
  • 7Chen R R, Lee C F. A constant elasticity of variance (CEV) family of stock price distributions in option pricing: review and integration[J]. Financial Study, 1993, 1(1): 29-51.
  • 8Emanuel D, MacBeth J. Further results on the constant elasticity of variance call option pricing formula[J]. Financial and Quantitative Analysis, 1982, 17 (1): 533-554.
  • 9Brandt M W, Kang Q. On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach[J]. Financial Economics, 2004, 72 (2): 217-257.
  • 10Feller W. Two singular diffusion problems [J]. Ann. of Mathematics, 1979, 7 (3): 229-263.

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数学杂志
1999年 第2期

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