| 随机利率下产量保险定价 |
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| 引用本文： | 杨保庭,李萍,陈俊霞. 随机利率下产量保险定价[J]. 经济数学, 2007, 24(1): 31-36 |
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| 作者姓名： | 杨保庭 李萍 陈俊霞 |
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| 作者单位： | 华中科技大学数学系,湖北武汉,430074;华中科技大学数学系,湖北武汉,430074;华中科技大学数学系,湖北武汉,430074 |
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| 摘 要： | 通过假设利率的随机过程遵循Heath-Jarrow-Morton(1992)模型,以及利率波动结构和价格波动结构仅为时间的函数,扩展了Kunt K.Aaese(2004)产量保险模型,并借助多元正态分布函数得到其显示表达式.
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| 关 键 词： | Kunt K.Aaese产量保险模型 Heath-Jarrow-Morton模型 多元正态分布函数 |
| 修稿时间： | 2006-09-08 |
THE QUANTITY INSURANCE PRICING MODEL UNDER THE STOCHASTIC INTEREST RATE |
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| Yang Baoting,Li Ping,Chen Junxia. THE QUANTITY INSURANCE PRICING MODEL UNDER THE STOCHASTIC INTEREST RATE[J]. Mathematics in Economics, 2007, 24(1): 31-36 |
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| Authors: | Yang Baoting Li Ping Chen Junxia |
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| Abstract: | This paper presents the valuation of future yield put option under a stochastic interest rate of Heath-Jarrow-Morton(1992) framework.With the use of the assumption of the volatility of the forward interest rate and price progress is a deterministic function of time,Kunt K.Aaese(2004) quantity contract model has been extended.Moreover,this paper get the expression by multivariable normal distribution. |
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| Keywords: | Kunt K.Aaese quantity insurance model Heath-Jarrow-Morton model multivariable normal distribution |
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