| 随机利率下期权定价的探讨 |
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| 引用本文： | 田萍,张屹山,赵世舜.随机利率下期权定价的探讨[J].数理统计与管理,2008,27(6). |
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| 作者姓名： | 田萍 张屹山 赵世舜 |
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| 作者单位： | 1. 吉林大学数量经济研究中心、商学院,吉林,长春,130012
2. 吉林大学数学学院,吉林,长春,130012 |
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| 基金项目： | 国家社会科学基金，吉林大学商学院985工程 |
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| 摘 要： | 利用Ho-Lee和Vasicek模型的简化形式推导出了Black-Scholes假设下的随机利率欧式期权定价公式,对无风险利率是常数的期权定价模型进行扩展,并与一般情况进行了分析与比较。
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| 关 键 词： | 随机利率 期权定价 Ho-Lee模型 Vasicek模型 |
Discussion about the Option Pricing Based on the Stochastic Interest Rate |
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| TIAN Ping,ZHANG Yi-shan,ZHAO Shi-shun.Discussion about the Option Pricing Based on the Stochastic Interest Rate[J].Application of Statistics and Management,2008,27(6). |
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| Authors: | TIAN Ping ZHANG Yi-shan ZHAO Shi-shun |
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| Institution: | TIAN Ping~1 ZHANG Yi-shan~1 ZHAO Shi-shun~2 1. Center for Quantitative Economics of Jilin University,Business School of Jilin University,Jilin Changchun 130012,China,2. College of Mathematics,Jilin University,Jilin Changchun 130012,China |
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| Abstract: | In this paper, using the simplified model of Ho-Lee model and Vasicek model, we deduce the European option pricing of stochastic interest rate under the Black-Scholes assumption. It is an extension of the option pricing model with the constant risk-free rate. We also analysis and compare it with the general case. |
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| Keywords: | stochastic interest rate option pricing the Ho-Lee model the Vasicek model |
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