纺织高校基础科学学报2012，Vol.25Issue(4)：489-493,5.
随机利率情形下的梯式期权定价模型
Pricing of ladder option on stochastic interest rate
摘要
Abstract
It was assumed that the stock price and the bond price follow the stochastic differential equations driven by the Brownian motion. Using the joint distribution of the maximum and the terminal value of Brownian motion with drift and the risk neutral probability measure, ladder option pricing formula under stochastic interest rate was obtained.关键词
随机利率/梯式期权/布朗运动Key words
stochastic interest rate/ ladder option/ Brownian motion分类
管理科学引用本文复制引用
冯增辉,薛红,王晓东..随机利率情形下的梯式期权定价模型[J].纺织高校基础科学学报,2012,25(4):489-493,5.基金项目
国家自然科学基金资助项目(11126311) （11126311）
陕西省教育厅自然科学专项基金项目(12JK0862) （12JK0862）
陕西省自然科学基金资助项目(2010JM1010) （2010JM1010）
