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随机积分的Girsanov定理及其在期权定价中的应用 被引量:2

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出处 《河南师范大学学报(自然科学版)》 CAS CSCD 2003年第1期123-123,128,共2页 Journal of Henan Normal University(Natural Science Edition)
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参考文献6

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同被引文献14

  • 1魏艳华,李艳颖,王丙参.条件期望的性质及求法[J].牡丹江大学学报,2009,18(9):116-117. 被引量:3
  • 2Black F, Scholes M. The Pricing of Options and Corporate Liabilities[ J]. J Pol Econ, 1973,81:637 -659.
  • 3Stein-Erik F, Snorre L. Optimal Hedging Strategies for Multi-Period Guarantees in the Presence of Transaction Costs:A Stochastic Programming Approach [ J ]. European Journal of Operational Research,2008,185 ( 3 ) : 1680 - 1689.
  • 4Nele V, Michle V. A Locally Risk-Minimizing Hedging Strategy for Unit-Linked Life Insurance Contracts in a Lvy Process Financial Market [ J ]. Mathematics and Economics,2008,42 ( 3 ) : 1128 - 1137.
  • 5Domenico D G. Delta Hedging Strategies Comparison [ J ]. European Journal of Operational Research, 2008,185 ( 3 ) 1615 - 1631.
  • 6John C H. Options, Futures and Other Derivative [ M ]. Beijing. Huaxia Press ,2000.
  • 7Miklavz M. Discrete-time Delta Hedging and the Black-Scholes Model with Transaction Costs [ J ]. Math Meth Oper Res 2006,64:227 - 236.
  • 8武文娜,周圣武,黎伟.分数布朗运动下支付红利的亚式期权定价[J].河南科技大学学报(自然科学版),2012,33(4):100-104. 被引量:7
  • 9冷菲.完善企业金融衍生品管理的设想[J].冶金经济与管理,2013(3):47-48. 被引量:1
  • 10毛月华.国际金融衍生品交易制度分析[J].现代商业,2013(15):40-41. 被引量:1

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