The Black-Scholes Formula under the Extensional CIR Interest Rate Model

被引：0

作者：

Zheng, Xiaoyang ^{[1
]}

Li, Shili ^{[1
]}

机构：

[1] Harbin Engn Univ, Coll Sci, Harbin, Heilongjiang, Peoples R China

来源：

PROCEEDINGS OF THE 2012 INTERNATIONAL CONFERENCE ON MANAGEMENT INNOVATION AND PUBLIC POLICY (ICMIPP 2012), VOLS 1-6 | 2012年

关键词：

CIR interest rate model; Ito formula; Black-Scholes formula;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The risk-free rate is supposed that it is a known constant in the traditional Black-Scholes formula. This paper assumes that the interest rate meets the extensional CIR interest rate model and other conditions remain unchanged. The price of European contingent claim is derivated about time, price of underlying asset and interest rate at the same time. Finally, the Black-Scholes formula under the extensional CIR interest rate model is gotten.

引用

页码：1865 / 1867

页数：3

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