高利率借款市场中未定权益的定价  

PRICING OF CONTIGENT CLAIM IN A MARKET WITH HIGHER RATE FOR BORROWING

作　　者：李顺[1] 

机构地区：[1]武汉大学

出　　处：《数学杂志》1999年第2期190-194,共5页Journal of Mathematics

摘　　要：本文指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。We prove that there exists a feasible hedging strategy for any positive contigent claim in a market with higher interest rate for borrowing, and the selling price is higher than the purchasing price in the market. Our work is based on the results of KAROUI and PENG(1997).

关 键 词：随机微分方程 定价 套期保值 借款市场 利率 

分 类 号：F830.55[经济管理—金融学] O211.63[理学—概率论与数理统计]