Abstract：The Black-Scholes option pricing formula is built on some assumptions, one of which is that the level of the interest rate is constant during its life, but in reality it is often uncertain, hence we assume that the level of interest rates follow a Markov process and get a new European option pricing formula.
收稿日期: 2004-02-25
引用本文:
刘文平 李萍 孙志华. 利率服从马尔可夫过程时的期权定价[J]. , 2004, 43(2): 0-0.
刘文平 李萍 孙志华. Option pricing formula under stochastic level of interest rates. , 2004, 43(2): 0-0.
