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- This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy. 摘要本文推导出在随机利率经济体系下，无套利条件之组合型选择权的近似封闭解。
- This paper develops benefit reserve models with deterministic and stochastic interest rate for a homogeneous portfolio of life insurance policies. 针对同质寿险保单组,分别建立了确定利率与随机利率准备金精算模型。
- This paper studies the determination of level premiums for a portfolio of life insurance policies under the stochastic interest rate environment. 摘要在随机利率的背景下，对寿险保单组均衡保费的确定问题进行了研究。
- We establish an generalized exponential O-U model with "jump" ,and the option value equation and the pricing formula of European call option are deduced under incontinuous stochastic interest rate model. 创建带跳跃的指数O-U随机过程扩展模型,并在利率为跳-扩散过程的假设下,给出了相应的期权价值方程以及欧式看涨期权的定价公式。
- Van L.S., Gendron M.: On financial guarantee insurance under stochastic interest rates. 陈富权;沈思玮:信用担保的两阶段定价模型.;系统工程理论方法应用
- Optimal Investment with Stochastic Interest Rate and Default Risk 随机利率下有违约风险的最优投资组合
- We then get the life annuity actuarial present value models of annuity portfolio insurance through the portfolio theory, under the independent stochastic interest rates environment. 然后，考虑市场上存在多种相互独立的随机投资利率的情况下，依据投资组合理论得出企业年金保险中多种生存年金组合的精算现值模型。
- Factor Analysis on Convertible Bond Value under Stochastic Interest Rate 随机利率条件下影响企业可转换债券价值的因素分析
- The Compound Option Pricing with Stochastic Interest Rate and Volatility 具有随机利率和波动率的复合期权定价
- Actuarial Analysis of Implicit Pension debt in Social Pension System with Stochastic Interest Rate 随机利率下社会养老保险隐性债务的精算分析
- A Discrete Time Pricing Model for Convertible Bond under Stochastic Interest Rate 一种随机利率条件下企业可转换债券定价的离散时间方法
- Local risk-minimizing for equity-linked insurance contracts with stochastic interest rate 随机利率权益连结保险合同的局部风险最小化
- The Numerical Algorithm and Empirical Test on the Pricing Model of Convertible Bond under Stochastic Interest Rate 随机利率条件下可转换债券的数值解法及实证检验
- The option pricing for a kind of Jump-Diffusion models with stochastic interest rate 一类具有随机利率的跳扩散模型的期权定价
- A unit-linked life insurance model for embedding a surrender option under stochastic interest rate 随机利率下含退保期权的投资连接寿险模型
- Pricing European Contingent Claims Under Stochastic Interest Rate and Stochastic Life 随机利率和随机寿命下的欧式未定权益定价
- Pricing European Options on the Extremum of Several Risky Assets Under Stochastic Interest Rate 随机利率模型下欧式极值期权的定价
- Pricing of contingent claim on dividend-paying stock under stochastic interest rate 在随机利率情形下有红利支付的股票未定权益定价
- Actuarial module of enterprise-complemented pension scheme while taking Vasicek as stochastic interest rate module 利率模型为Vasicek的企业补充养老保险计划精算模型
- Pricing of Innovative Reset Put Option under Stochastic Interest Rates 随机利率下重设型卖权的定价
