| 随机利率情形下跳-扩散模型的未定权益定价 |
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| 引用本文： | 苏军,徐根玖,杨秀妮.随机利率情形下跳-扩散模型的未定权益定价[J].数学的实践与认识,2010,40(18). |
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| 作者姓名： | 苏军 徐根玖 杨秀妮 |
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| 基金项目： | 西北工业大学科技创新基金，陕西省科技计划项目 |
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| 摘 要： | 讨论Vasicek短期利率模型下,风险资产的价格过程服从跳-扩散过程的欧式未定权益定价问题,利用鞅方法得到了欧式看涨期权和看跌期权定价公式及平价关系,最后给出了基于风险资产支付连续红利收益的欧式期权定价公式.
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| 关 键 词： | 未定权益定价 跳-扩散过程 鞅方法 随机利率 |
Contingent Claims Valuation When the Underlying Asset Price is a Jump-Diffusion Process under Stochastic Interest Rates |
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| SU Jun,XU Gen-jiu,YANG Xiu-ni.Contingent Claims Valuation When the Underlying Asset Price is a Jump-Diffusion Process under Stochastic Interest Rates[J].Mathematics in Practice and Theory,2010,40(18). |
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| Authors: | SU Jun XU Gen-jiu YANG Xiu-ni |
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| Abstract: | This paper discusses the problem of contingent claims valuation when the underlying asset price is a jump-diffusion process under stochastic interest rates.Using martingale method,pricing formula of European contingent claims is derived and put-call parity is analyzed. Pricing formula of European option is also given when risk asset pays continuous dividends. |
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| Keywords: | contingent claims valuation jump-diffusion process martingale method stochastic interest rate |
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