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[期刊论文]

金融期货与远期定价的虚拟衍生资产偏微分方法研究

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author:

陈晓杰 (陈晓杰.) [1] | 黄志刚 (黄志刚.) [2] | 邹辉文 (邹辉文.) [3]

Indexed by:

CQVIP

Abstract:

本文提出“虚拟衍生资产”的金融工程概念;通过这种思想,在无风险套利原理下,利用Black-Scholes偏微分方程及其通解,推导出金融期货、远期的定价模型。

Keyword:

Black-Scholes偏微分方程 定价 期货 虚拟衍生资产 远期

Community:

  • [ 1 ] 福州大学管理学院,福建福州350108

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Source :

广西金融研究

ISSN: 1002-6452

Year: 2007

Issue: 8

Page: 33-35

Cited Count:

WoS CC Cited Count:

30 Days PV: 1

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