On the European option pricing with dynamic return rate

被引：0
|
作者：
Ying, YR [1 ]
Qin, XZ [1 ]
机构：
[1] Shanghai Univ, Sch Int Business & Management, Shanghai 201800, Peoples R China
来源：
PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2 | 2004年
关键词：
European option; Black-Scholes formula; with dynamic return rate;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A Black-Scholes model for European option pricing with dynamic return rate, which satisfies with first order differential equation, is set up. The Black-Scholes formulae with dynamic return rate are obtained by stochastic differential equation method.
引用
收藏
页码：1819 / 1822
页数：4
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