| 连续敲定价债券期货期权定价 |
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| 引用本文： | 赵伟,徐云.连续敲定价债券期货期权定价[J].成都大学学报(自然科学版),2010,29(2):172-175. |
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| 作者姓名： | 赵伟 徐云 |
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| 作者单位： | 新疆大学,数学与系统科学学院,新疆,乌鲁木齐,830046;新疆大学,数学与系统科学学院,新疆,乌鲁木齐,830046 |
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| 摘 要： | 讨论连续敲定价债券期货看涨期权、连续敲定价限界债券期货看涨期权的定价.在HJM框架下,利用远期鞅测度方法,给出这两类看涨期权的定价公式.
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| 关 键 词： | 连续敲定价 债券期货期权 远期鞅测度 |
Pricing of Continuous Strike Bond Futures Call Options |
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| ZHAO Wei,XU Yun.Pricing of Continuous Strike Bond Futures Call Options[J].Journal of Chengdu University (Natural Science),2010,29(2):172-175. |
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| Authors: | ZHAO Wei XU Yun |
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| Affiliation: | (School of Mathematics and System Science,Xinjiang University,Urumqi 830046, China) |
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| Abstract: | Pricing the continuous strike bond futures call options and the continuous strike range bond futures call options were discussed in this paper.Under HJM framework,the forward martingale measure method was applied to express pricing formula for these two call options. |
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| Keywords: | continues strike bond futures options forward martingale measure |
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