可延期交付的附息票债券期权定价  

Explicit Formula of Coupon-Bearing Bond Option with Delay in Delivery

作　　者：徐根新[1] 

机构地区：[1]同济大学应用数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2006年第6期836-839,共4页Journal of Tongji University:Natural Science

基　　金：国家自然科学基金资助项目(10171078)

摘　　要：采用赫尔-怀特(Hull-White)短期利率模型,利用偏微分方程基本解方法,分别就标准型和资产交付日滞后于期权到期日类型的欧式附息票债券期权给出定价公式.The pricing of coupon-bearing bond option with delay in delivery is discussed, where the fundamental solution of partial differential equation is adopted and an explicit pricing formula of European option based on Hull-Whlte model of short interest rate is exhibited.

关 键 词：赫尔-怀特模型 附息票债券 欧式期权 延期交付 基本解 

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