借款利率大于债券利率同时投资策略受限情况下期权的定价  

ON THE PRICING OF CONTINGENT CLAIMS UNDER CONSTRAINTS AND WITH HIGHER INTEREST RATE FOR BORROWING THAN FOR LENDING

作　　者：雷耀斌[1] 吴让泉[2] 

机构地区：[1]中国纺织大学自动化及电子信息工程系,上海200051 [2]中国纺织大学基础部,上海200051

出　　处：《经济数学》1999年第4期27-32,共6页Journal of Quantitative Economics

摘　　要：分析了期权的定价，研究了借款利率大于债券利率同时投资策略受限制情况下期权的定价．This paper analyses the pricing of contingent claims in unconstrained case,and the pricing of contingent claims under constraints and with higher interest rate for borrowing than for lending is discussed.

关 键 词：期权 定价 鞅 投资策略 借款利率 债券利率 股票 BLACK-SCHOLES公式 

分 类 号：F830.9[经济管理—金融学]