随机利率和跳-扩散过程下具有随机寿命的未定权益定价

摘要

在利率服从Hull-White-Vasicek利率模型、风险资产服从跳-扩散过程的假设下,建立具有随机寿命的欧式未定权益定价模型.对具有随机寿命的养老金合约、保险合同、股票期权、远期合约和可转换债券等欧式未定权益进行定价,得到具体的欧式未定权益定价公式.%European contingent claims pricing model with stochastic life was established if the interest rate would obey the Hull-White-Vasicek model and the risk assets would follow the jump-diffusion process. Several European contingent claims such as pension contract, insurance contract, stock option, forward contracts, convertible bond, which were with stochastic life, were priced and the pricing formula of con crete Europian contingent claims was obtained.