两因素HJM模型下奇异债券期货期权的定价  

Pricing Exotic Bond Future Options in Two-factor HJM Model

作　　者：周海艳[1] 徐云[1] 

机构地区：[1]新疆大学数学与系统科学学院,乌鲁木齐830046

出　　处：《数学理论与应用》2010年第3期68-72,共5页Mathematical Theory and Applications

基　　金：自治区高效科研计划重点项目(XJEDU2008I09)资助

摘　　要：在HJM模型下考虑远期利率由两个独立的布朗运动驱动,利用鞅方法得到了三种奇异的债券期货期权—上限型期货期权,抵付型期货期权与后定选择期货期权的定价公式。We consider the term structure of forward rates driven by two independent Brownian motion. By means of martingale method, we obtain the pricing formula of three exotic bond future options - Capped Calls future option, Deductible Call future option and Chooser future option.

关 键 词：上限型期货期权 抵付型期货期权 后定选择期货期权 

分 类 号：F224[经济管理—国民经济] F830.91