摘要
主要研究随机利率模型下触发式利率挂钩型理财产品的定价,运用△-对冲技术建立偏微分方程,最终给出随机利率模型下此款理.财产品的定价.
In this paper, we mainly study on financial product pricing of triggered interest rate hook type under the stochastic interest rate model, using A-hedge and partial differential equation method, finally to give this financial product pricing under stochastic interest rate model.
出处
《数学的实践与认识》
北大核心
2015年第13期83-89,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金(11071051)
关键词
随机利率
触发式
理财产品
stochastic interest rate
trigger type
financial product
