借贷利率不同情形下具有变系数和红利的未定权益定价  

Pricing of Contingent Claim with Non-Constant Coefficients under Different Borrowing-Lending Rate

作　　者：卢俊香[1] 朱晓杰[2] 赵玉荣[2] 

机构地区：[1]西安交通大学理学院,陕西西安710049 [2]牡丹江师范学院数学系,黑龙江牡丹江157012

出　　处：《烟台大学学报（自然科学与工程版）》2006年第2期93-97,共5页Journal of Yantai University(Natural Science and Engineering Edition)

摘　　要：在借贷利率不同情形下,首先利用I^to公式得到具有变系数和红利的未定权益价格应满足的偏微分方程,其次利用Feynm an-kac公式得到欧式未定权益的一般定价公式及套期保值策略,然后,在具体金融市场,对远期合约、养老金合约以及欧式看涨、看跌期权进行定价,并给出套期保值策略,从而看出借贷利率对未定权益价格的影响.最后给出了欧式看涨期权价格灵敏度的分析.Under different borrowing-lending rate, in this paper, using It↑^o formula the partial differential equation described by price of contingent claim with non-constant coefficients is oblained first. Then by means of Feynman-Kac formula, the general pricing formula and hedging strategy of contingent claim are gotten. In the particular financial market, the pricing formulas and hedging strategies of forward contract, pension contract, European call and put option are described. So it is noticed that Borrowing-lending rate affect price of contingent claim. At last, sensitivity of contingent claim is considered.

关 键 词：It↑^o公式 Feynman-kac公式 未定权益 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]