| 引用本文： |
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张鸿雁,李茂盛,韩素红.依概率可达未定权益的定价[J].广西科学,2008,15(3):274-277,281. [点击复制]
- ZHANG Hong-yan,LI Mao-sheng,HAN Su-hong.Pricing Contingent Claims Attainable with Positive Probability[J].Guangxi Sciences,2008,15(3):274-277,281. [点击复制]
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| 摘要: |
| 应用统计方法得出美式未定权益的α-价格,并构造出它的一个最小套期保值策略,再根据美式未定权益的α-价格推导出依概率可达未定权益的公平价格公式,并用该公式求出一个单时段市场上依概率可达未定权益的公平价格. |
| 关键词: 未定权益 定价 公平价格 停时 |
| DOI： |
| 投稿时间：2007-05-08修订日期：2008-01-23 |
| 基金项目:湖南省自然科学基金项目(04JJ3076);中南大学文理基金项目(0502011)资助 |
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| Pricing Contingent Claims Attainable with Positive Probability |
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ZHANG Hong-yan, LI Mao-sheng, HAN Su-hong
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| (School of Mathematical Science and Computing Technology, CSU, Changsha, Hunan, 410083, China) |
| Abstract: |
| Based on statistical analogies, the α-price of an American contingent claim is obtained, and a minimal hedge strategy is constructed.Enlightened by hedging the contingent claim in probability, we get the pricing formula of the contingent claim attainable in probability.At last we consider an example which is an one period model attainable in probability and get the fair price by this pricing formula, its special case is a non-attainable contingent claim. |
| Key words: contingent claim pricing equity price stopping time |
