We price exchange options under the constant interest rate and stochastic interest rate.
对于互换期权，在常数利率和随机利率假设下分别建立了定价模型；
In this paper, we discuss the price interval of stock index futures with stochastic interest rates.
本文讨论了随机利率下股票指数期货的价格区间。
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。
This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy.
本文推导出在随机利率经济体系下，无套利条件之组合型选择权的近似封闭解。
The main results of this study is under stochastic interest rate reverse mortgages were priced, and the situation on many lives were discussed.
本文的主要研究成果就是在随机利率下对反向抵押贷款进行了定价，并且对多生命的情况进行了讨论。
This paper develops benefit reserve models with deterministic and stochastic interest rate for a homogeneous portfolio of life insurance policies.
针对同质寿险保单组，分别建立了确定利率与随机利率准备金精算模型。
On the basis of general ruin model, the ruin model with stochastic interest is considered so that the probability of ruin has more significance in practice.
在一般化破产模型的基础上，进一步考虑了随机利率的破产模型，使得相应的破产概率更加具有实际意义，可作为保险公司预警系统的一个重要指标。
After that, the paper introduces two kinds of credit risk pricing models which adopt stochastic interest rate and credit risk: structural model and reduced-form model.
在此基础上，探讨了将随机利率与信用风险相结合的信用风险定价模型——结构模型和简约模型。
We use the theory of local risk minimization for incomplete markets to determine hedging strategies for equity-linked life insurance contracts with stochastic interest rates.
提出利用不完全市场的局部风险最小对冲方法对冲保险者的风险。
Some new option pricing formulas are derived on condition that the model is jump-diffusion, the stock pays dividends and the stochastic interest rate are continuous or discontinuous.
分别在股票支付红利、跳-扩散模型，在连续随机利率、跳-扩散模型，和在不连续随机利率、跳-扩散模型的假设下，推导出了各自新的期权定价公式。
Interest rates exhibit complex stochastic behavior, is mean reversion and are not directly tradable, which means that the dynamic replication strategy is more complex.
利率具有复杂的随机行为，均值回复且不可直接交易，这意味着动态复制策略更复杂。
However, when the interest rate being stochastic, these are not more.
然而，当利率是随机变量时，目前的研究成果并不多见。
In this paper, we give computing methods about net premium and net premium reserve of whole life insurances under stochastic rate of interest.
本文给出了在随机利率下，终身寿险的纯保费和纯保费责任准备金的计算方法。
A special double type-insurance risk model whose premium is a stochastic process with interest force was further studied.
研究了在保费收取随机的情况下，含利息力因素的特殊双险种风险模型破产问题。
It builds up a stochastic volatility interest rate term structure model to describe the behavior of financial market repo rate of national debt in China.
建立描述中国金融市场国债回购利率行为的随机波动利率期限结构模型。
This paper concentrates on life insurance model with stochastic rate of interest, we discuss the properties of average claim amount in a portfolio of policies.
本文针对随机利率寿险模型，考虑一保单组的平均给付额的性质。
Many generalized classical risk models have been studied widely such as adding the rates of interest into models, stochastic premiums etc.
人们已在经典风险模型的基础上作了很多的推广研究，如模型中引入利率，把常数保费率改为随机等。
Due to some unexpected stochastic events, the pure continuous diffusion is unable to describe the interest rate and stock behavior exactly.
由于一些不可预测的随机事件的影响纯粹的连续扩散过程难以正确描述利率、股票的变动行为。
Accounting for the influence, explores a stochastic immunization method and financial engineering approaches based on hedging, which are two kinds of interest rate risk management strategies.
针对嵌入期权的影响，探讨了随机免疫方法和基于套期保值策略的金融工程手段这两种公司债券利率风险管理策略。
Due to some unexpected stochastic events, the pure continuous diffusion process is unable to describe the interest rate behavior exactly.
由于一些不可预测的随机事件的影响，纯粹的连续扩散过程难以正确描述利率变动的行为。
In the theory of probability, it has already aroused more and more many people's interest to research the influence of the non-stochastic system stochastic.
在概率论中，对非随机系统的随机影响的研究已经引起了越来越多的人的兴趣。
A pricing model of corporation bond is built up, default assumed as a stochastic intensity process and related to risk-free interest rate.
在考虑企业债券违约风险的情形下，首先将违约看作具有不确定性的随机强度过程，对违约风险进行了建模。
A pricing model of corporation bond is built up, default assumed as a stochastic intensity process and related to risk-free interest rate.
在考虑企业债券违约风险的情形下，首先将违约看作具有不确定性的随机强度过程，对违约风险进行了建模。
应用推荐