%0 Journal Article
%T Pricing European options under stochastic interest rate<br>随机利率条件下的欧式期权定价
%A ZHOU Hai-lin
%A WU Xin-yu
%A GAO Ling-yun
%A LU Feng-bin
%A <br>周海林
%A 吴鑫育
%A 高凌云
%A 陆凤彬
%J 系统工程理论与实践
%D 2011
%I 
%X With the assumption that the underlying asset price and interest rate follow diffusion process, the structure of the price of European option is obtained by choosing the underlying asset price and zero coupon price as numeraires respectively.A sufficient condition that the volatility processes of interest rate and the price of underlying asset are deterministic function of time is also derived,under which the price of European option has a close-formed structure.A case of European option pricing is presente...
%K option pricing
%K stochastic interest rate
%K changes of numeraire
%K closed-form solution<br>期权定价
%K 随机利率
%K 计价单位转换
%K 解析解
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=37B775CD65B030EA7B7F37658AD09119&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=B3AAD7DC3C912B50&eid=7F9B7E84827A650F&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=15