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。
Under stochastic interest rate, the pricing problem on contingent claim on dividend paying stock was discussed.
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。
The pricing formula of European foreign stock contingent claim are obtained by backward stochastic different equation and martingale method.
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