摘要
本文在随机利率的基础上,考虑股票价格过程和利率过程分别为扩散过程和Ito过程,并且在相关的假设下,运用鞅方法推导出欧式期权价值过程所满足的微分方程;以及利率满足一种特殊方程时,运用最优停止的鞅方法,得到了随机利率下美式期权的价格和最优停时.
Basing on the stochastic interest rate, considering the stock price process are diffusions process and interest rates process are ITO process and there is the correlation between the stock price and the interest rate, we drives option pricing equation with stochastic interest rate by applying martingale, and when interest rates process is a solution of a special equation, we gets value of American option and optimal stopping time by applying a martingale method about optimal stopping.
出处
《经济数学》
2006年第3期261-266,共6页
Journal of Quantitative Economics
关键词
随机利率
相关
鞅
最优停时
Stochastic interest rates, the correlation, martingale, optimal stopping time.
