不同借贷利率下欧式双向期权的定价  

Pricing of Bi-direction European Option under Different Borrowing-lending Interest Rates

作　　者：王剑君[1] 

机构地区：[1]湖南工程学院数理系

出　　处：《科学技术与工程》2007年第7期1291-1294,共4页Science Technology and Engineering

摘　　要：假设借贷利率不相同,在考虑股票和债券价格行为特征的基础上,利用鞅方法推导了不同借贷利率下欧式双向期权的定价公式。The pricing formula of Bi-direction European option under different borrowing-lending interest rates is derived by applying the martingale method, considering comprehensively the interest rates and the models of stock price.

关 键 词：借贷利率 鞅方法 欧式双向期权 

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