具有不同借贷利率的几种期权的定价及其套期保值策略

摘要

本文假定在不同借贷利率和无套利的基础上建立相应的偏微分方程及利用Feynman—Kac公式得到抵付型期权，资产或无偿买权和欧式双向期权的定价公式及其套期保值策略．%The paper is assumed that the lending interest rates and borrowing interest rates is different and the market is non - arbitrage ,we utilize Feynman - Kac formula and study Deductible Calls, Asset - or - Nothing and Bi - direction European option, optain pricing model and the corresponding hedging.