摘要
金融衍生产品是金融创新的核心.混合过程是ITO过程与脉冲干扰过程的混合,它描述了变量在空间上离散和连续变化的特征.混合过程能较好地反映衍生金融产品的变化性质.在一些假设条件下,建立了基于混合过程的多因素衍生金融产品定价模型,给出了一定的求解方法,推广了Black-Scholes期权定价公式.
Financial derivatives are the core of financial innovation. Mixed process is a conformity of the ITO process and the pulse disturb process, which can describe the characteristic of dispersion and continuity of variables. We established the pricing model of muhiattribute financial derivatives obeying mixed processes, and used a method to solve the model, and extended the Black - Scholes formula under some assumption.
出处
《河南工程学院学报（自然科学版）》
2013年第4期64-70,共7页
Journal of Henan University of Engineering：Natural Science Edition
基金
国家自然科学基金资助项目(70572001
70971121
71210107034)
河南省政府决策招标课题(2012A003)
河南省科技攻关项目(102102310263
072102360047)
关键词
混合过程
多因素衍生证券
定价公式
mixed processes
muhi - attribute financial derivatives
pricing formula
