随机利率和跳-扩散过程下具有随机寿命的未定权益定价  

Contingent claims pricing with stochastic life in random interest rate and jump-diffusion process

作　　者：李蕊[1] 

机构地区：[1]青海大学成人教育学院,青海西宁810001

出　　处：《兰州理工大学学报》2011年第4期169-172,共4页Journal of Lanzhou University of Technology

摘　　要：在利率服从Hull-White-Vasicek利率模型、风险资产服从跳-扩散过程的假设下,建立具有随机寿命的欧式未定权益定价模型.对具有随机寿命的养老金合约、保险合同、股票期权、远期合约和可转换债券等欧式未定权益进行定价,得到具体的欧式未定权益定价公式.European contingent claims pricing model with stochastic life was established if the interest rate would obey the Hull-White-Vasicek model and the risk assets would follow the jump-diffusion process.Several European contingent claims such as pension contract,insurance contract,stock option,forward contracts,convertible bond,which were with stochastic life,were priced and the pricing formula of concrete Europian contingent claims was obtained.

关 键 词：跳-扩散过程 随机寿命 未定权益 随机利率 

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