摘要
研究了在一个完备和连续的市场模型中,资产价格的运动过程服从对数正态分布,利率的运动过程为函数型Vasicek利率模型,利用It引理和Black-Scholes风险中性定价原则研究了标准欧式买权和卖权的定价问题.
The pricing formulas of European Call option and the put-call party relation in a completed and continuously marketed model are imtroduced and studied,in which the process of asset price is assumed to be Vasicek model with a fixed finction about time. By using lto formula and Black-Schole＇s risk-neutral valuation principle,the pricing of standard Etiropean contingent claims is studied.
出处
《甘肃科学学报》
2008年第1期28-31,共4页
Journal of Gansu Sciences
基金
兰州理工大学优秀中青年基金
兰州理工大学博士启动基金
关键词
函数型Vasicek利率模型
Ito引理
欧式期权
Vasicek interest rate model with the function coefficients
lto Lemma
European contingent claims
