| 随机利率情形下幂型期权定价问题 |
| |
| 引用本文： | 王继红,欧阳异能.随机利率情形下幂型期权定价问题[J].兵团教育学院学报,2010,20(2):32-35,53. |
| |
| 作者姓名： | 王继红 欧阳异能 |
| |
| 作者单位： | 石河子大学,师范学院/兵团教育学院,新疆,石河子,832003 |
| |
| 摘 要： | 利用随机微分方程，鞅方法及测度变换等方法，讨论了随机利率情形下的幂型期权定价模型，并得到了随机利率情形下的幂型期权定价公式。
|
| 关 键 词： | 鞅方法 测度变换 Girsanov定理 Radon—Nikodym导数 |
The Problem of Power Option Pricing Under Stochastic Interest Rate |
| |
| WANG Ji-hong,Ouyang Yi-neng.The Problem of Power Option Pricing Under Stochastic Interest Rate[J].Journal of Bingtuan Education Institute,2010,20(2):32-35,53. |
| |
| Authors: | WANG Ji-hong Ouyang Yi-neng |
| |
| Institution: | WANG Ji-hong,Ouyang Yi-neng(Teaclcers College,Shihezi Universtg/Bingtuan Education Instiute,Shihezi,Xinjiang 832003,China) |
| |
| Abstract: | By means of stochastic differential equation,Martingale and Change of numeraire,the authors discuss the power option pricing under stochastic interest rate,and obtain the pricing formula for the power option under the case of stochastic interest rate. |
| |
| Keywords: | martingale method change of numeraire Girsanov therom Radon-Nikodym derivation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
