在高利率借款市场中未定权益的定价方法  

The Method about Pricing of Contigent Claim a Market with Higher Rate for Borrowing

作　　者：刘翠桃[1] 刘洪运[1] 

机构地区：[1]商丘职业技术学院,河南商丘476000

出　　处：《河南科技学院学报》2008年第3期139-141,共3页Journal of Henan Institute of Science and Technology(Natural Science Edition)

摘　　要：给出在高利率借款市场中存在可行的保值策略,买方价大于卖方价,该工作主要基于并推广了Karoui和Peng(1997)的结论。We prove that there exists a feasible hedging strategy for any positive contigent claim in a market with hegher interest rate for borrowing, and the selling price is higher than the purchasing in the market, our work is based on the results of KAROUI and PENG （1997）.

关 键 词：倒向随机微分方程 定价和套期保值 买方价 卖方价 

分 类 号：O211.63[理学—概率论与数理统计]