基于连续红利支付和随机波动率的未定权益定价模型The contingent claim pricing with continuous dividend and stochastic volatility
魏岳嵩;林美艳;
摘要(Abstract)：
研究了具有连续红利支付和随机波动率的未定权益定价问题,利用等价鞅测度的方法推导了风险中性下的欧式未定权益定价公式.
关键词(KeyWords)： 未定权益;随机波动率;等价鞅测度
基金项目(Foundation): 安徽省高校青年教师科研资助项目(2008jq1070)
作者(Authors): 魏岳嵩;林美艳;
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