| 借款利率大于债券利率同时投资策略受限情况下期权的定价 |
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| 引用本文： | 雷耀斌,吴让泉.借款利率大于债券利率同时投资策略受限情况下期权的定价[J].经济数学,1999(4). |
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| 作者姓名： | 雷耀斌 吴让泉 |
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| 作者单位： | 中国纺织大学自动化及电子信息工程系!上海，200051，中国纺织大学基础部!上海，200051 |
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| 摘 要： | 分析了期权的定价，研究了借款利率大于债券利率同时投资策略受限制情况下期权的定价．
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| 关 键 词： | 期权的定价 鞅 投资策略 |
ON THE PRICING OF CONTINGENT CLAIMS UNDER CONSTRAINTS AND WITH HIGHER INTEREST RATE FOR BORROWING THAN FOR LENDING |
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| Lei Yaobin.ON THE PRICING OF CONTINGENT CLAIMS UNDER CONSTRAINTS AND WITH HIGHER INTEREST RATE FOR BORROWING THAN FOR LENDING[J].Mathematics in Economics,1999(4). |
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| Authors: | Lei Yaobin |
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| Abstract: | This paper analyses the pricing of contingent claims in unconstrained case,and the pricing of contingent claims under constraints and with higher interest rate for borrowing than for lending is discussed. |
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| Keywords: | the pricing of contingent claims martingale portfolios |
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