| 公司负债的鞅定价 |
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| 引用本文： | 邹杰涛,汪海燕,于海滨,吴润衡. 公司负债的鞅定价[J]. 数学的实践与认识, 2009, 39(22) |
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| 作者姓名： | 邹杰涛 汪海燕 于海滨 吴润衡 |
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| 作者单位： | 北方工业大学理学院,北京,100041 |
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| 摘 要： | 鞅作为一种比较新的东西,被应用于多个领域中,尤其在金融领域的定价模型中更是得到广泛的应用.依据公司负债独特的性质,用鞅的方法得出公司负债的定价模型,并对所得模型做出相应的数值分析.
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| 关 键 词： | 公司负债 等价鞅测度 Girsanov定理 风险中性 鞅 |
The Martingale Pricing for Corporate Liabilities |
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| ZOU Jie-tao,WANG Hai-yan,YU Hai-bin,WU Run-heng. The Martingale Pricing for Corporate Liabilities[J]. Mathematics in Practice and Theory, 2009, 39(22) |
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| Authors: | ZOU Jie-tao WANG Hai-yan YU Hai-bin WU Run-heng |
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| Abstract: | Martingale actions is as a newer kind of thing, being applied in several fields, and particularly in the pricing model of financial field. According to the company liabilities'special property, this text uses the method of martingale to get the pricing model of company liabilities, and does a data analysis to get the model for corresponding. |
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| Keywords: | company liabilities equivalent martingale measures girsanov's theory risk neutral martingale |
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