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交叉货币百慕大式互换期权的定价
杜志阔1; 张迪新2
2011
Source Publication应用概率统计
ISSN1001-4268
Volume027Issue:004Pages:425
Abstract本文首先研究了涉及两种货币市场的Hull-White随机利率模型.以此为基础,本文给出了交叉货币百慕大式互换期权的定价公式.由于无法得到显式定价公式,我们使用了Least Squared Monte-Carlo(LSM)算法来确定期权的最优执行时刻.最后本文给出了数值计算方面的结果.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/38675
Collection中国科学院数学与系统科学研究院
Affiliation1.北京交通大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
杜志阔,张迪新. 交叉货币百慕大式互换期权的定价[J]. 应用概率统计,2011,027(004):425.
APA 杜志阔,&张迪新.(2011).交叉货币百慕大式互换期权的定价.应用概率统计,027(004),425.
MLA 杜志阔,et al."交叉货币百慕大式互换期权的定价".应用概率统计 027.004(2011):425.
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