| 随机利率下股价波动源模型的期权定价 |
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| 引用本文： | 周菊玲,师恪.随机利率下股价波动源模型的期权定价[J].新疆大学学报(理工版),2004,21(3):240-243. |
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| 作者姓名： | 周菊玲 师恪 |
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| 作者单位： | [1]青岛酒店管理职业技术学院,山东青岛266100 [2]新疆大学数学与系统科学学院，新疆乌鲁木齐830046 |
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| 摘 要： | 假设风险利率是随机利率，我们在详细考虑基础变量——利率和股票价格行为特征的基础上，运用无套利原理推导出随机利率下股价波动源模型的期权定价方程。
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| 关 键 词： | 波动源模型 随机利率 期权定价 |
| 文章编号： | 1000-2839(2004)03-0240-04 |
| 修稿时间： | 2003年12月12 |
Option Pricing of the Models of Stock Pricing Fluctuation Under the Stochastie Interest |
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| ZHOU Ju-ling,SHI Ke.Option Pricing of the Models of Stock Pricing Fluctuation Under the Stochastie Interest[J].Journal of Xinjiang University(Science & Engineering),2004,21(3):240-243. |
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| Authors: | ZHOU Ju-ling SHI Ke |
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| Institution: | ZHOU Ju-ling~1,SHI Ke~2 |
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| Abstract: | Assumed that the riskless rate of interest is stochastie interest, this paper derives the option pricing equation of the model of stock price fluctuation under the stochastie interest by applying no-arbitriage theory. considering comproehensivily the interest rate and the models of stock pricing. |
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| Keywords: | the models of stock pricing fluctuation stochastie interest option pricing |
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