The Domination for Evaluation of the Contingent Claims by Nonlinear Generator  

作　　者：何坤 闫理坦 胡良剑 

机构地区：[1]College of Science,Donghua University

出　　处：《Journal of Donghua University(English Edition)》2009年第3期290-292,共3页东华大学学报（英文版）

基　　金：National Natural Science Foundation of China (No.10571025);Key Project of Chinese Ministry of Education (No.106076)

摘　　要：In this paper,through applying the result of backward stochastic differential equations,it investigates a domination for pricing of the contingent claims by the use of nonlinear infinitesimal generator of process X. This domination provides a guide for valuing the price of the position on the financial market.In this paper, through applying the result of backward stochastic differential equations, it investigates a domination for pricing of the contingent claims by the use of nonlinear infinitesimal generator of process X. This domination provides a guide for valuing the price of the position on the financial market.

关 键 词：backward stochastic differential equations gevaluation contingent claims infinitesimal generator 

分 类 号：O211.63[理学—概率论与数理统计] TP273[理学—数学]