%0 Journal Article
%T Interest Rate Risk and Contingent Claim Pricing<br>利率风险与或有权益定价
%A Sun Wangui
%A <br>孙万贵
%J 系统科学与数学
%D 2007
%I 
%X The aim of this paper is to address contingent claim hedging and pricing in an incomplete market using an indifference argument.We prove that the price of contingent claims not only rely on its non-hedgeable part,but also on interest rate risk.The interest rate risk is divided to controllable risk and uncontrollable risk.The controllable risk,related with capital market,can be hedged.The expected return produced by the risk may be positive, zero or negative.But the uncontrollable risk,having no relevance to capital market,cannot be hedged.The later has effect on the price of contingent claims,but the former does not. As the uncontrollable return of interest rate is positively(negatively)correlative with the non- hedgeable part of contingent claims,the higher the risk of the non-hedgeable part of contingent claims,the higher(lower)its price.
%K Contingent claim
%K hedging
%K pricing
%K interest rate risk
%K incomplete market<br>或有权益
%K 保值
%K 定价
%K 利率风险
%K 不完全市场
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=6E709DC38FA1D09A4B578DD0906875B5B44D4D294832BB8E&cid=37F46C35E03B4B86&jid=0CD45CC5E994895A7F41A783D4235EC2&aid=A5D833F7240B54D6&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=0B39A22176CE99FB&sid=D5C73DEF4CF8FAF3&eid=CA5852BD1A173B3A&journal_id=1000-0577&journal_name=系统科学与数学&referenced_num=0&reference_num=12