| 动态资产份额定价理论模型 |
| |
| 引用本文： | 石玉凤,王立杰. 动态资产份额定价理论模型[J]. 数学的实践与认识, 2005, 35(3): 8-13 |
| |
| 作者姓名： | 石玉凤 王立杰 |
| |
| 作者单位： | 中国矿业大学北京校区管理学院,北京,100083 |
| |
| 摘 要： | 运用倒向随机微分方程数学方法 ,建立了动态资产份额定价理论模型 .这一模型是资产份额定价法的改进 .求解模型得到动态资产份额定价理论公式 ,并得出结论 :资产份额定价公式完全可以作为特例 ,以离散时间意义和在不考虑动态投资的情况下 ,由动态资产份额定价理论公式得到 .
|
| 关 键 词： | 寿险定价 资产份额定价法 动态资产份额定价模型 |
| 修稿时间： | 2004-07-06 |
Dynamic Asset Share Pricing Theoretical Model |
| |
| SHI Yu-feng,WANG Li-jie. Dynamic Asset Share Pricing Theoretical Model[J]. Mathematics in Practice and Theory, 2005, 35(3): 8-13 |
| |
| Authors: | SHI Yu-feng WANG Li-jie |
| |
| Abstract: | The Dynamic Asset Share Pricing Theoretical Models are set up according to modern finance theory using Backward Stochastic Differential Equation Theory. The model is a kind of improvement for Asset Share Pricing Method. Using Stochastic Differential Equation approaches, the relevant solutions are gotten under given conditions, and an encouraging result is obtained. That is: Asset Share Pricing Method is the special case of Dynamic Asset Share Pricing Method. |
| |
| Keywords: | life insurance pricing asset share pricing method dynamic asset share pricing model |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
