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具有不同借贷利率的几种期权的定价及其套期保值策略
引用本文:朱利芝,刘韶跃,唐古生.具有不同借贷利率的几种期权的定价及其套期保值策略[J].数学理论与应用,2011(4).
作者姓名:朱利芝  刘韶跃  唐古生
作者单位:湖南科技大学数学与计算科学学院;湘潭大学数学与计算科学学院;
基金项目:湖南省教育厅科研基金项目(09C391)
摘    要:本文假定在不同借贷利率和无套利的基础上建立相应的偏微分方程及利用Feynman-Kac公式得到抵付型期权,资产或无偿买权和欧式双向期权的定价公式及其套期保值策略.

关 键 词:Feynman-Kac公式  抵付型期权  欧式双向期权  套期保值  

Several Pricing Options on Different Lending Interest Rates and borrowing Interest Rates and the Corresponding Hedging
Zhu Lizhi Liu Shaoyue Tang Gusheng.Several Pricing Options on Different Lending Interest Rates and borrowing Interest Rates and the Corresponding Hedging[J].Mathematical Theory and Applications,2011(4).
Authors:Zhu Lizhi Liu Shaoyue Tang Gusheng
Institution:Zhu Lizhi1 Liu Shaoyue2 Tang Gusheng1(1.College of Mathematics and Computational Science,Hunan university of Science and Technology,Xiangtan,Hunan 411201,China)(2.College of Mathematics and Computational Science,Xiangtan university,Hunan,411105,China)
Abstract:The paper is assumed that the lending interest rates and borrowing interest rates is different and the market is non-arbitrage,we utilize Feynman-Kac formula and study Deductible Calls,Asset-or-Nothing and Bi-direction European option,optain pricing model and the corresponding hedging.
Keywords:Feynman-Kac formula Deductible Calls Asset-or-Nothing Bi-direction European option Hedging  
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