摘要
在Black-Scholes框架下,运用偏微分方程(PDE)的方法,给出了一类随机利率基于Vasicek模型且信息不完全时的风险债券的定价公式,并对公式中各项指标进行灵敏度分析。
Using the method of partial differential equation and working under the framework of Black-Scholes, we find a formula to price a class of risky bond whose random interest rate is based on Vasieek model and information is incomplete. In addition, we show the effects of formula＇s five important indexes on the price of defaultable bond.
出处
《苏州科技学院学报（自然科学版）》
CAS
2007年第1期21-26,共6页
Journal of Suzhou University of Science and Technology （Natural Science Edition）
基金
国务院侨办基金资助项目(03QZR09)
