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金融衍生产品单期二项式定价模型及其风险估计

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摘要 金融衍生品,尤其是美式期权可于到期前的任意约定时点行权,最优行权时间的确定,是金融衍生品研究的一个重要课题。文章引入金融衍生产品单期二项式定价模型及其风险估计模型及方法,利用无套利原则,构建了以时间和状态为变量的金融衍生品定价函数,并利用风险统计推断方法对金融衍生品的违约风险进行无偏估计。
作者 崔洁
出处 《统计与决策》 CSSCI 北大核心 2015年第23期159-162,共4页 Statistics & Decision
基金 陕西省科技厅自然科学基础研究项目(2014JM9372)
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参考文献8

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二级参考文献24

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