| 随机利率下期权定价 |
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| 引用本文： | 张娟,金治明.随机利率下期权定价[J].经济数学,2006,23(3):261-266. |
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| 作者姓名： | 张娟 金治明 |
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| 作者单位： | 国防科技大学理学院,湖南长沙,410073 |
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| 摘 要： | 本文在随机利率的基础上,考虑股票价格过程和利率过程分别为扩散过程和Ito过程,并且在相关的假设下,运用鞅方法推导出欧式期权价值过程所满足的微分方程;以及利率满足一种特殊方程时,运用最优停止的鞅方法,得到了随机利率下美式期权的价格和最优停时.
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| 关 键 词： | 随机利率 相关 鞅 最优停时 |
| 修稿时间： | 2006年3月28日 |
OPTION PRICING WITH STOCHASTIC INTEREST RATES |
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| Zhang Juan,Jin Zhiming.OPTION PRICING WITH STOCHASTIC INTEREST RATES[J].Mathematics in Economics,2006,23(3):261-266. |
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| Authors: | Zhang Juan Jin Zhiming |
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| Abstract: | Basing on the stochastic interest rate,considering the stock price process are diffusions process and interest rates process are ITO process and there is the correlation between the stock price and the interest rate,we drives option pricing equation with stochastic interest rate by applying martingale,and when interest rates process is a solution of a special equation,we gets value of American option and optimal stopping time by applying a martingale method about optimal stopping. |
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| Keywords: | Stochastic interest rates the correlation martingale optimal stopping time |
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