摘要
:假设证券价格变动满足一般意义下的泛函随机微分方程 。
This paper assumes that security price processes satisfy a system of functional stochastic differential equations.We establish the algorithms for European Contingent Claims Pricing & their hedging strategies according to the prices of the financial assets up to present time.
出处
《长沙铁道学院学报》
EI
CSCD
2000年第2期88-91,共4页
Journal of Changsha Railway University
关键词
未定权益定价
套期保值策略
部分信息
contingent claims pricing
hedging strategy
partial information
