摘要
在市场无套利、利率满足Hull-White利率模型时,利用It8公式和Girsanov定理得到了随机利率下双重货币模型下商品互换的定价公式.
When no arbitrage principle and Hull - White interest model are satiesfied, the pricing of commodity swap in dual - curreny model with stochastic interest rate is obtained by using Ito formula and Girsanov theorem.
出处
《哈尔滨师范大学自然科学学报》
CAS
2016年第6期1-5,共5页
Natural Science Journal of Harbin Normal University
关键词
双重货币模型
随机利率
等价鞅测度
商品互换
Dual - curreny model
Stochastic interest rate
Equivalent martingale measure
Commodity swap
