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We build on the contingent claim approach to investigate these issues.
而且我们是基于条件假设来研究这些问题的。
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Under stochastic interest rate, the pricing problem on contingent claim on dividend paying stock was discussed.
在随机利率情形下,讨论了有红利支付的股票未定权益定价问题。
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Convertible bond is the contingent claim not only of the firm value, but also of interest rate and its term structure.
企业可转换债券既是企业市场价值的或有债权,又是利率及其期限结构的或有债权。
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The pricing formula of European foreign stock contingent claim are obtained by backward stochastic different equation and martingale method.
利用倒向随机微分方程和鞅方法,讨论国外股票欧式未定权益的一般定价问题,获得了一般定价公式。
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The pricing formula and hedging strategy of European Future contingent claim are obtained by back ward stochastic different equation and martingale method.
利用倒向随机微分方程和鞅方法,直接得到欧式期货未定权益的一般定价公式以及套期保值策略。