| 具有不同借贷利率的幂型欧式期权定价的鞅方法 |
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| 引用本文： | 张淑娟,孔繁亮. 具有不同借贷利率的幂型欧式期权定价的鞅方法[J]. 哈尔滨理工大学学报, 2009, 14(5): 93-96 |
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| 作者姓名： | 张淑娟 孔繁亮 |
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| 作者单位： | 哈尔滨理工大学,应用科学学院,黑龙江,哈尔滨,150080 |
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| 基金项目： | 国家自然科学基金项目，黑龙江省教育厅科学技术研究项目 |
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| 摘 要： | 在借贷利率不同条件下，利用鞅分析方法推导了期权到期时刻支付函数为幂型的欧式期权定价公式，是对借贷利率相同与支付函数为线性条件下结果的推广．这里假定无风险利率，股票预期收益率，股票波动率以及股票红利率都是时间的确定性函数．
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| 关 键 词： | 借贷利率 幂型欧式期权 等价鞅测度 |
Martingale Method of the Power Payoffs European Options Pricing with Different Borrow-Lending Intrest Rate |
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| ZHANG Shu-juan,KONG Fan-liang. Martingale Method of the Power Payoffs European Options Pricing with Different Borrow-Lending Intrest Rate[J]. Journal of Harbin University of Science and Technology, 2009, 14(5): 93-96 |
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| Authors: | ZHANG Shu-juan KONG Fan-liang |
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| Affiliation: | (School of Applied Science, Harbin University of Science and Technology, Harbin 150080, China) |
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| Abstract: | Assuming borrow-lending interest rate is different, we discuss the pricing formulars of power payoffs european options at the time of maturity of options by applying the martingale method, and extend the results of same borrow-lending interest rate and linear payment. The risk-free rate of interest, the expected rate of return, the volatility for the stock price and the dividend of the stock price are deterministic functions of the time. |
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| Keywords: | borrow-lending interest rate power payoffs european options equivalent martingale measures |
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