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随机利率情形下跳-扩散模型的未定权益定价 被引量：3

Contingent Claims Valuation When the Underlying Asset Price is a Jump-Diffusion Process under Stochastic Interest Rates
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摘要 讨论Vasicek短期利率模型下,风险资产的价格过程服从跳-扩散过程的欧式未定权益定价问题,利用鞅方法得到了欧式看涨期权和看跌期权定价公式及平价关系,最后给出了基于风险资产支付连续红利收益的欧式期权定价公式. This paper discusses the problem of contingent claims valuation when the underlying asset price is a jump-diffusion process under stochastic interest rates. Using martingale method, pricing formula of European contingent claims is derived and put-call parity is analyzed. Pricing formula of European option is also given when risk asset pays continuous dividends.
作者 苏军 徐根玖 杨秀妮
机构地区 西安科技大学理学院 西北工业大学应用数学系
出处 《数学的实践与认识》 CSCD 北大核心 2010年第18期30-35,共6页 Mathematics in Practice and Theory
基金 西北工业大学科技创新基金(2008KJ02034) 陕西省科技计划项目(2009KRM99)
关键词 未定权益定价 跳-扩散过程 鞅方法 随机利率 contingent claims valuation jump-diffusion process martingalemethod stochastic interest rate
分类号 F830 [经济管理—金融学] F224 [经济管理—国民经济]
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参考文献8

  • 1Rabinovitch R. Pricing stock and bond options when the default-free rate is stochastic[J]. Journal of Financial and Quantitative Analysis, 1989, 24: 447-457.
  • 2Amin K I, Jarrow R A. Pricing foreign currency options under stochastic interest rates[J]. Journal of International Money and Finance, 1991, 10:310-329.
  • 3Amin K I:, Bordurtha J N. Discrete-time valuation of American options with stochastic interest rates[J]. Review of Financial Studies, 1995, 8: 193-234.
  • 4Dritschel M, Protter P. Complete markets with discontinuous security price[J]. Finance and Stochastics, 1999, 3: 203-214.
  • 5王莉君,张曙光.随机利率下重置期权的定价问题[J].高校应用数学学报（A辑）,2002,17(4):471-478. 被引量：26
  • 6Merton R C. Option pricing when underling process of stock returns is discontinuous[J]. Journal of Financial Economics, 1976, 3: 124-144.
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  • 8Lamberton D, Lapeyre B. Introduction to Stochastic Calculus Applied to Finance[M]. London: Chapman & Hall, 1996.

二级参考文献10

  • 1[1]Zhang Guangping.Exotic Options[M].Singapore:World Scientific Publishing,1997.
  • 2[2]Chance D,Kumar R,Todd R B.The "repricing" of executive stock options,working paper[Z].Virginia Polytechnic Institute and State University,1999.
  • 3[3]Brenner M,Sundaram R K,Yermack D.Altering the terms of executive stock options[J].Journal of Financial Economics,2000,57:103-128.
  • 4[4]Heynen R C,Kat H M.Lookback options with discrete and partial monitoring of the underlying price[J].Applied Mathematical Finance,1995,2:273-283.
  • 5[5]Jiang Lishang,Dai Min.On Path-dependent Options[A].In:Yong Jiongmin and Rama Cont,eds,Mathematical Finance-Theory and Practice[C].Shanghai,1999,290-316.
  • 6[6]Cheng Waiyan,Zhang Shuguang.The analytic of reset options[J].Journal of Derivatives,2000,8:59-71.
  • 7[7]Gray S,Whaley R,Valuing S P.500 bear market warrants with a periodic reset[J].Journal of Derivatives,1997,4:99-106.
  • 8[8]Gray S,Whaley R.Reset put options:valuation,risk characteristics,and an application[J].Australian Journal of Management,1999,24:1-20.
  • 9[9]Nelken I.Reassessing the reset[J].Risk,October 1998,36-39.
  • 10[10]Karatzas I,Shreve S E.Brownian Motion and Stochastic Calculus[M].Second Edition,New York:Springer-Verlag,1991.

共引文献25

同被引文献15

二级引证文献5

数学的实践与认识
2010年 第18期

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