具有随机寿命的多维Black-Scholes定价模型  

Multi-dimensional Black-Scholes Pricing Model with Stochastic Lives

作　　者：薛红[1] 

机构地区：[1]西安工程科技学院理学院,陕西西安710048

出　　处：《系统工程理论与实践》2004年第8期44-48,共5页Systems Engineering-Theory & Practice

基　　金：陕西省教育厅自然科学专项基金(01JK137)

摘　　要：　利用随机微分方程和鞅方法,给出了具有随机寿命的多维Black-Scholes定价模型,并获得随机寿命情形下欧式期权及其它未定权益定价的解析表达式.将Black-Scholes定价模型进行了更为合理地推广.By means of stochastic different equation and martingale methods, we deal with Multi-dimensional Black-Scholes Pricing Model with stochastic lives. Then, the pricing formula of Europe option and other contingent claim are obtained. Finally, we generalize Black-Scholes Pricing Model.

关 键 词：随机微分方程 鞅方法 Black—Scholes定价模型 未定权益 

分 类 号：O211[理学—概率论与数理统计] F830[理学—数学]