| 随机利率下两类奇异期权定价的偏微分方程方法 |
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| 引用本文： | 周香英,潘坚.随机利率下两类奇异期权定价的偏微分方程方法[J].赣南师范学院学报,2010,31(6). |
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| 作者姓名： | 周香英 潘坚 |
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| 摘 要： | 采用偏微分方程的方法研究扩展型Vasicek模型下两类奇异期权的定价问题,利用无套利原理推导出所满足的偏微分方程,通过求解这个偏微分方程得到了两类奇异期权的定价公式.
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| 关 键 词： | 奇异期权 随机利率 期权定价 偏微分方程 |
Pricing of Two Classes of Exotic Options under the Stochastic Interest Rates by Partial Differential Equation Method |
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| ZHOU Xiang-ying,PAN Jian.Pricing of Two Classes of Exotic Options under the Stochastic Interest Rates by Partial Differential Equation Method[J].Journal of Gannan Teachers' College(Social Science(2)),2010,31(6). |
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| Authors: | ZHOU Xiang-ying PAN Jian |
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| Abstract: | The pricing problems of two classes of exotic options under an extended Vasicek's interest rate framework are discussed using partial differential equation method.We derived the pricing formulae for two classes of exotic options by solving this partial differential equation. |
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| Keywords: | exotic options stochastic interest rate option pricing partial differential equation |
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