摘要
本文对散见于各文献中的风险中性假设和风险中性概率进行了系统化的分析,归纳出用风险中性假设和风险中性概率对衍生证券进行定价的三个一般步骤,并举例对此进行了应用,这些分析对研究衍生证券定价的研究者具有一定的参考价值。
In this paper, a systematic analysis is done on risk-neutral hypothesis and risk-neutral probability which are scatteredly in various literature, and then three general steps of pricing on derivative securities by employing risk-neutral hypothesis and risk-neutral probability are obtained and some examples are given for illustrating three general steps, which can provide references for researchers of researching price of derivative securities.
出处
《重庆三峡学院学报》
2006年第3期36-38,共3页
Journal of Chongqing Three Gorges University
关键词
风险中性
远期台约
期权
标的资产
risk neutrality, forward contract, option, underlying asset
