利率为时间函数的商期权定价  

Valuation of Quotient Options for the Interest Rate is a Function of Time

作　　者：杨晓琳[1,2] 刘丽霞 李素文[3] YANG Xiao-lin;LIU Li-xia;LI Su-wen(College of Mathematical of Hebei Normal University,Shijiazhuang 050024,China;Department of Information Technology,of Shijiazhuang Vocational and Technical Education Center,Shijiazhuang 050090,China;College of Mathematics and Computer Science of Hebei Normal University for Nationalities,Chengde 067000,China)

机构地区：[1]河北师范大学数学科学学院,河北石家庄050024 [2]石家庄市职业技术教育中心信息技术系,河北石家庄050090 [3]河北民族师范学院数学与计算机系,河北承德067000

出　　处：《数学的实践与认识》2020年第12期79-85,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11501164);河北省教育厅重点基金项目(ZD2018065)。

摘　　要：在现实市场中利率不是确定的常数,为了让资产价格模型更趋近于现实,在假设利率是关于时间函数的情况下,推导出商期权的定价公式.证明时所用的方法分为两种,分别为Girsanov定理和Esscher变换.In the real market,interest rate is not sure of constant.In order to make the asset prices model closer to reality,we will assume that the interest rate is a function of time,then we can deduce the pricing formula of the quotient option.In this paper there are two proving methods be used which are Girsanov’s theorem and Esscher transform,respectively.

关 键 词：商期权 GIRSANOV定理 ESSCHER变换 

分 类 号：F830.9[经济管理—金融学] F224