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随机利率Vasicek模型下的欧式缺口期权的定价研究 被引量：5

Study on European Gap Option Pricing under Vasicek Interest Rate Model
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摘要 研究随机利率Vasicek模型下欧式缺口期权的定价问题,利用偏微分方程方法给出了欧式缺口看涨期权和看跌期权的定价公式,并且是Vasicek利率模型下标准欧式期权定价公式的一种推广. The European gap option pricing problem under Vasicek interest rate model was studied. By use of the PDE method, the pricing formulas of European gap call option and European gap put option were obtained respectively. What＇s more, these pricing formulas are generalization of European standard option pricing formulas.
作者 张艳 周圣武 韩苗 索新丽
机构地区 中国矿业大学理学院
出处 《大学数学》 2012年第4期98-101,共4页 College Mathematics
关键词 VASICEK利率模型 缺口期权 期权定价 Vasicek interest rate model gap option option pricing
分类号 F830.9 [经济管理—金融学]
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参考文献8

二级参考文献24

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共引文献10

同被引文献24

  • 1张艳,孙彤.关于欧式缺口期权定价模型的研究[J].徐州师范大学学报（自然科学版）,2006,24(4):44-47. 被引量：4
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引证文献5

二级引证文献7

大学数学
2012年 第4期

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