| 利率均值回复模型下标的资产期权定价 |
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| 引用本文： | 郭子君.利率均值回复模型下标的资产期权定价[J].应用数学,2004(Z1). |
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| 作者姓名： | 郭子君 |
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| 作者单位： | 华南农业大学理学院 广东广州510642 |
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| 摘 要： | 在利率均值回复金融市场中 ,给出了财富贴现过程的随机微分方程 ;证明了与之联系的倒向随机微分方程解的存在唯一性 .最后 ,从倒向随机微分方程的解出发 ,得到了欧式期权定价的条件期望定价公式 .
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| 关 键 词： | 均值回复过程 财富过程 倒向随机微分方程 解 欧式期权 |
The Pricing of Options with the Rate of Mean Reverting Processes |
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| GUO Zi-jun.The Pricing of Options with the Rate of Mean Reverting Processes[J].Mathematica Applicata,2004(Z1). |
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| Authors: | GUO Zi-jun |
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| Abstract: | In the financial market under the rate with mean reverting processes,the stochastic differential equation about fortune processes is obtained;the existence and uniqueness of the backward stochastic differential equation associated with the stochastic differential equation above are proved;at last we arrive at the condition expectation formula of European option pricing. |
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| Keywords: | Mean reverting processes Fortune processes Backward stochastic differential equations Solution European options |
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