| 连续时间下的可分离债券的定价 |
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| 引用本文： | 苗杰,师恪.连续时间下的可分离债券的定价[J].数学的实践与认识,2009,39(15). |
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| 作者姓名： | 苗杰 师恪 |
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| 作者单位： | 1. 新疆大学数学与系统科学学院,新疆,乌鲁木齐,830046;昌吉学院数学系,新疆,昌吉,831100
2. 新疆大学数学与系统科学学院,新疆,乌鲁木齐,830046 |
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| 基金项目： | 新疆大学自然科学基金 |
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| 摘 要： | 假设股票价格服从对数正态分布,且股票价格的波动率,无风险利率均为时间的确定性连续函数,利用鞅的方法研究了连续时间下的可分离债券的定价,并得到了可分离债券的定价公式.
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| 关 键 词： | 可分离债券 等价鞅测度 计价单位 |
The Pricing of Bond with Attached Warrant under the Continuous Time |
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| MIAo Jie,SHI Ke.The Pricing of Bond with Attached Warrant under the Continuous Time[J].Mathematics in Practice and Theory,2009,39(15). |
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| Authors: | MIAo Jie SHI Ke |
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| Institution: | MIAO Jie1,2,SHI Ke1(1.Xinjiang University,College of Mathematics and System Sciences,Urumqi 830046,China)(2.Changji College,Department of Mathematics,Changji 831100,China) |
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| Abstract: | This paper uses the Martingale method to study the pricing of the bond with attached warrant under the continuous time and obtains pricing formula of the bond with attached warrant,Here supposes that the stock price follows a log-normal distribution,the fluctuating rate of the stock price and the risk-free interest rate all are the definite continuous function of time. |
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| Keywords: | bond with attached warrant equivalent martingale numeriaire |
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