| 高利率借款市场中未定权益的定价 |
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| 引用本文： | 李顺. 高利率借款市场中未定权益的定价[J]. 数学杂志, 1999, 19(2): 190-194 |
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| 作者姓名： | 李顺 |
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| 作者单位： | 武汉大学 |
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| 摘 要： | 本文指出高利率借款市场中存在可行的保值策略，买方价大卖辩论价，该工作基本上基于Ｋａｒｏｕｉ和Ｐｅｎｇ（１９９７）的结论。
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| 关 键 词： | 随机微分方程 定价 套期保值 借款市场 利率 |
PRICING OF CONTIGENT CLAIM IN A MARKET WITH HIGHER RATE FOR BORROWING |
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| Li Shun. PRICING OF CONTIGENT CLAIM IN A MARKET WITH HIGHER RATE FOR BORROWING[J]. Journal of Mathematics, 1999, 19(2): 190-194 |
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| Authors: | Li Shun |
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| Abstract: | We prove that there exists a feasible hedging strategy for any positive contigent claim in a market with higher interest rate for borrowing, and the selling price is higher than the purchasing price in the market. Our work is based on the results of KAROUI and PENG(1997). |
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| Keywords: | backward stochastic differential equation pricing and hedging selling price purchasing price |
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