| 基于连续红利支付和随机波动率的未定权益定价模型 |
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| 引用本文： | 魏岳嵩,林美艳.基于连续红利支付和随机波动率的未定权益定价模型[J].纯粹数学与应用数学,2009,25(2):351-355. |
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| 作者姓名： | 魏岳嵩 林美艳 |
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| 作者单位： | 1. 西北工业大学应用数学系,陕西,西安,710072;淮北煤炭师范学院数学系,安徽,淮北,235000
2. 大连交通大学数理系,辽宁,大连,116028 |
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| 基金项目： | 安微省高校青年教师科研青助项目 |
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| 摘 要： | 研究了具有连续红利支付和随机波动率的未定权益定价问题，利用等价鞅测度的方法推导了风险中性下的欧式未定权益定价公式．
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| 关 键 词： | 未定权益 随机波动率 等价鞅测度 |
The contingent claim pricing with continuous dividend and stochastic volatility |
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| WEI Yue-song,LIN Mei-yan.The contingent claim pricing with continuous dividend and stochastic volatility[J].Pure and Applied Mathematics,2009,25(2):351-355. |
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| Authors: | WEI Yue-song LIN Mei-yan |
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| Institution: | WEI Yue-song1,2,LIN Mei-yan3 (1. Department of Applied Mathematics,Northwestern Polytechnical University,Xi'an 710072,China,2. Department of Mathematics,HuaiBei Coal Industry Teachers College,Huaibei 235000,3. School of Mathematics , Physics,Dalian Jiaotong University,Dalian 116028,China) |
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| Abstract: | In this paper, we discuss the pricing of the European contingent claim with continuous dividend and stochastic volatility. By using equivalent martingale measure and the risk-neutral principle, we deduce the pricing formula of the European contingent claim. |
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| Keywords: | contingent claim stochastic volatility equivalent martingale measure |
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